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Thesis (M.Sc.)--York University, 2007. Graduate Programme in Mathematics and Statistics. / Typescript. Includes bibliographical references (leaves 86-91). Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:MR32007

Thesis (Ph. D.)--University of Wisconsin--Madison, 1972. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references.

Thesis (Ph. D.)--University of Wisconsin--Madison, 1950. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references (leaves [205]-209).

This thesis examines the statistical properties of the Poisson AR(1) model of Al-Osh and Alzaid (1987) and McKenzie (1988). The analysis includes forecasting, estimation, testing for independence and specification and the addition of regressors to the model. The Poisson AR(1) model is an infinite server queue, and as such is well suited for modeling short-term disability claimants who are waiting to recover from an injury or illness. One of the goals of the thesis is to develop statistical methods for analyzing series of monthly counts of claimants collecting short-term disability benefits from the Workers' Compensation Board (WCB) of British Columbia. We consider four types of forecasts, which are the k-step ahead conditional mean, median, mode and distribution. For low count series the k-step ahead conditional distribution is practical and much more informative than the other forecasts. We consider three estimation methods: conditional least squares (CLS), generalized least squares (GLS) and maximum likelihood (ML). In the case of CLS estimation we find an analytic expression for the information and in the GLS case we find an approximation for the information. We find neat expressions for the score function and the observed Fisher information matrix. The score expressions leads to new definitions of residuals. Special care is taken to test for independence since the test is on the boundary of the parameter space. The score test is asymptotically equivalent to testing whether the CLS estimate of the correlation coefficient is zero. Further we define a Wald and likelihood ratio test. Then we use the general specification test of McCabe and Leybourne (1996) to test whether the model is sufficient to explain the variation found in the data. Next we add regressors to the model and update our earlier forecasting, estimation and testing results. We also show the model is identifiable. We conclude with a detailed application to monthly WCB claims counts. The preliminary analysis includes plots of the series, autocorrelation function and partial autocorrelation function. Model selection is based on the preliminary analysis, t-tests for the parameters, the general specification test and residuals. We also include forecasts for the first six months of 1995.

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Thesis (M.S.)--West Virginia University, 2009. / Title from document title page. Document formatted into pages; contains xv, 165 p. : ill. (some col.). Includes abstract. Includes bibliographical references (p. 162-165).

Thesis (M.S. in Meteorology and Physical Oceanography)--Naval Postgraduate School, March 2006. / Thesis Advisor(s): Peter Chu. Includes bibliographical references (p. 301-303). Also available online.

Brennan and Kraus (1982,1986) developed a costless signalling model which can explain why managers issue hybrid securities—convertibles(CB's) or bond-warrant packages(BW's). The model predicts that when the true standard deviation (σ) of the distribution of future firm value is unknown to the market, the firm's managers will issue a hybrid with specific characteristics such that the security's full information value is at a minimum at the firm's true σ. In this fully revealing equilibrium market price is equal to this minimum value. In this study, first the mathematical properties of the hypothesized bond-valuation model were examined to see if specific functions could have a minimum not at σ = 0 or σ = ∞ as required for signalling. The Black-Scholes-Merton model was the valuation model chosen because of ease of use, supporting empirical evidence, and compatibility with the Brennan-Kraus model. Three different variations, developed from Ingersoll(1977a); Geske( 1977,1979) and Geske and Johnson(1984); and Brennan and Schwartz(1977,1978), were examined. For all hybrids except senior CB's, pricing functions with a minimum can be found for plausible input parameters. However, functions with an interior maximum are also plausible. A function with a maximum cannot be used for signalling. Second, bond pricing functions for 105 hybrids were studied. The two main hypotheses were: (1) most hybrids have functions with an interior minimum; (2) market price equals minimum theoretical value. The results do not support the signalling model, although the evidence is ambiguous. For the σ range 0.05-0.70, for CB's (BW's) 15(8) Brennan-Schwartz functions were everywhere positively sloping, 11(2) had an interior minimum, 22(0) were everywhere negatively sloping, and 35(12) had an interior maximum. Market prices did lie closer to minima than maxima from the Brennan-Schwartz solutions, but the results suggest that the solution as implemented overpriced the CB's. BW's were unambiguously overpriced. With consistent overpricing, market prices would naturally lie closer to minima. Average variation in theoretical values was, however, only about 5 percent for CB's and about 10 percent for BW's. This, coupled with the shape data, suggests that firms were choosing securities with theoretical values relatively insensitive to a rather than choosing securities to signal σ unambiguously. / Business, Sauder School of / Graduate