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On the limiting shape of random young tableaux for Markovian wordsLitherland, Trevis J. January 2008 (has links)
Thesis (Ph.D)--Mathematics, Georgia Institute of Technology, 2009. / Committee Chair: Houdre, Christian; Committee Member: Bakhtin, Yuri; Committee Member: Foley, Robert; Committee Member: Koltchinskii, Vladimir; Committee Member: Lifshitz, Mikhail; Committee Member: Matzinger, Heinrich; Committee Member: Popescu, Ionel. Part of the SMARTech Electronic Thesis and Dissertation Collection.
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A Study of the Delta-Normal Method of Measuring VaRKondapaneni, Rajesh. January 2005 (has links)
Thesis (M.S.) -- Worcester Polytechnic Institute. / Keywords: VaR; Delta-normal method. Includes bibliographical references (p. 39).
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Asymptotics of large deviations for I.I.D. and Markov additive random variables in R[superscript d]Iltis, Michael George, January 1900 (has links)
Thesis (Ph. D.)--University of Wisconsin--Madison, 1991. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references (leaves 351-357).
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Methods of variable selection and their applications in quantitative structure-property relationship (QSPR)Peng, Xiaoling 01 January 2005 (has links)
No description available.
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Some applications of random field theory in geotechnical engineeringKafritsas, John C January 1980 (has links)
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Civil Engineering, 1980. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND ENGINEERING. / Bibliography: leaves 78-79. / by John C. Kafritsas. / M.S.
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The Joint Distribution of Two Linear Combinations of Random Variables Uniformly Distributed on a SimplexLim, Siok 09 1900 (has links)
<p> This thesis deals with linear combinations of a set of
random variables uniformly distributed on a simplex. The exact
joint distribution of two general linear combinations with real
constant coefficients is considered and the results found in the
form of the joint probability density function. Application of
the result is also illustrated. </p> / Thesis / Master of Science (MSc)
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A computer simulation study for comparing three methods of estimating variance componentsWalsh, Thomas Richard January 2010 (has links)
Typescript (photocopy). / Digitized by Kansas Correctional Industries
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Two-phase behaviour in a sequence of random variablesMutombo, Pierre Abraham Mulamba 03 1900 (has links)
Thesis (MSc)--University of Stellenbosch, 2007. / ENGLISH ABSTRACT: Buying and selling in financial markets are driven by demand. The demand can be quantified
by the imbalance in the number of shares QB and QS transacted by buyers and
sellers respectively over a given time interval t. The demand in an interval t is given
by
(t) = QB − QS. The local noise intensity is given by = h|aiqi − haiqii|i where
i = 1, . . . ,N labels the transactions in t, qi is the number of shares traded in transaction
i, ai = ±1 denotes buyer- initiated and seller- initiated trades respectively and h· · · i is the
local expectation value computed from all the transactions during the interval t.
In a paper [1] based on data from the New York Stock Exchange Trade and Quote database
during the period 1995-1996, Plerou, Gopikrishnan and Stanley [1] reported that the analysis
of the probability distribution P(
| ) of demand conditioned on the local noise intensity
revealed the surprising existence of a critical threshold c. For < c, the most
probable value of demand is roughly zero; they interpreted this as an equilibrium phase
in which neither buying nor selling predominates. For > c two most probable values
emerge that are symmetrical around zero demand, corresponding to excess demand and
excess supply; they interpreted this as an out-of-equilibrium phase in which the market
behaviour is buying for half of the time, and selling for the other half.
It was suggested [1] that the two-phase behaviour indicates a link between the dynamics
of a financial market with many interacting participants and the phenomenon of phase
transitions that occurs in physical systems with many interacting units.
This thesis reproduces the two-phase behaviour by means of experiments using sequences
of random variables. We reproduce the two-phase behaviour based on correlated and
uncorrelatd data. We use a Markov modulated Bernoulli process to model the transactions and investigate a simple interpretation of the two-phase behaviour. We sample data from
heavy-tailed distributions and reproduce the two-phase behaviour.
Our experiments show that the results presented in [1] do not provide evidence for the
presence of complex phenomena in a trading market; the results are a consequence of the
sampling method employed. / AFRIKAANSE OPSOMMING: Aankope en verkope in finansi¨ele markte word deur aanvraag gedryf. Aanvraag kan gekwantifiseer
word in terme van die ongebalanseerdheid in die getal aandele QB en QB soos
onderskeidelik verhandel deur kopers en verkopers in ’n gegewe tyd-interval t. Die aanvraag
in ’n interval t word gegee deur
(t) = QB −QS. Die lokale geraasintensiteit word
gegee deur = h|aiqi − haiqii|i waar i = 1, . . . ,N die transaksies in t benoem, qi die
getal aandele verhandel in transaksies verwys, en h· · · i op die lokale verwagte waarde dui,
bereken van al die tansaksies tydens die interval t.
In ’n referaat [1] wat op data van die New York Effektebeurs se Trade and Quote databasis
in die periode tussen 1995 en 1996 geskoei was, het Plerou, Gopikrishnan en Stanley
[1] gerapporteer dat ’n analise van die waarskynlikheidsverspreiding P(
| ) van aanvraag
gekondisioneer op die lokale geraasintensiteit , die verrassende bestaan van ’n kritieke
drempelwaarde c na vore bring. Vir < c is die mees waarskynlike aanvraagwaarde
nagenoeg nul; hulle het dit ge¨ınterpreteer as ’n ekwilibriumfase waartydens n`og aankope
n`og verkope die oormag het. Vir > c is die twee mees waarskynlike aanvraagwaardes
wat te voorskyn kom simmetries rondom nul aanvraag, wat oorenstem met ’n oormaat aanvraag
en ’n oormaat aanbod; hulle het dit geinterpreteer as ’n buite-ewewigfase waartydens
die markgedrag die helfte van die tyd koop en die anderhelfte verkoop.
Daar is voorgestel [1] dat die tweefase gedrag op ’n verband tussen die dinamiek van ’n
finansiele mark met baie deelnemende partye, en die verskynsel van fase-oorgange wat in
fisieke sisteme met baie wisselwerkende eenhede voorkom, dui.
Hierdie tesis reproduseer die tweefase gedrag deur middel van eksperimente wat gebruik
maak van reekse van lukrake veranderlikes. Ons reproduseer die tweefase gedrag gebaseer op gekorreleerde en ongekorreleerde data. Ons gebruik ’n Markov-gemoduleerde Bernoulli
proses om die transaksies te moduleer en ondersoek ’n eenvoudige interpretasie van die
tweefase gedrag.
Ons seem steekproefdata van “heavy-tailed” verspreidings en reproduseer die tweefase
gedrag.
Ons ekperimente wys dat die resultate in [1] voorgested is nie bewys lewer vir die teenwoordigheid
van komplekse verskynsel in’n handelsmark nie; die resultate is as gevolg van die
metode wat gebruik is vir die generering van die steekproefdata.
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On upper comonotonicity and stochastic ordersDong, Jing, 董靜 January 2009 (has links)
published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy
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Optimal double variable sampling plans.January 1993 (has links)
by Chi-van Lam. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves 71-72). / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- The Model and the Bayes risk --- p.7 / Chapter § 2.1 --- The Model / Chapter § 2.2 --- The Bayes risk / Chapter Chapter 3 --- The Algorithm --- p.16 / Chapter § 3.1 --- A finite algorithm / Chapter § 3.2 --- The Number Theoretical Method for Optimization / Chapter § 3.2.1 --- NTMO / Chapter § 3.2.2 --- SNTMO / Chapter Chapter 4 --- Quadratic Loss Function --- p.26 / Chapter §4.1 --- The Bayes risk / Chapter § 4.2 --- An optimal plan / Chapter § 4.3 --- Numerical Examples / Chapter Chapter 5 --- Conclusions and Comments --- p.42 / Chapter § 5.1 --- Comparison between various plans / Chapter § 5.2 --- Sensitivity Analysis / Chapter § 5.3 --- Further Developments / Tables --- p.46 / Appendix A --- p.60 / Appendix B --- p.65 / References --- p.71
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