Global ETD Search

291	Trustworthiness, diversity and inference in recommendation systems Chen, Cheng 28 September 2016 (has links) Recommendation systems are information filtering systems that help users effectively and efficiently explore large amount of information and identify items of interest. Accurate predictions of users' interests improve user satisfaction and are beneficial to business or service providers. Researchers have been making tremendous efforts to improve the accuracy of recommendations. Emerging trends of technologies and application scenarios, however, lead to challenges other than accuracy for recommendation systems. Three new challenges include: (1) opinion spam results in untrustworthy content and makes recommendations deceptive; (2) users prefer diversified content; (3) in some applications user behavior data may not be available to infer users' preference. This thesis tackles the above challenges. We identify features of untrustworthy commercial campaigns on a question and answer website, and adopt machine learning-based techniques to implement an adaptive detection system which automatically detects commercial campaigns. We incorporate diversity requirements into a classic theoretical model and develop efficient algorithms with performance guarantees. We propose a novel and robust approach to infer user preference profile from recommendations using copula models. The proposed approach can offer in-depth business intelligence for physical stores that depend on Wi-Fi hotspots for mobile advertisement. / Graduate / 0984 / cchenv@uvic.ca Bipartite Graphs Matchings NP-hardness Linear Programming Submodular Systems Recommendation Systems Anomaly Detection Community Question and Answer Websites Paid Posters Adaptive Detection Systems Weighted Bipartite b-Matching Conflict Constraints Optimization Approximation Reverse Engineering of Recommendations Wi-Fi Data Mining Profile Inference Copula Modelling
292	Modelování přírodních katastrof v pojišťovnictví / Modelling natural catastrophes in insurance Varvařovský, Václav January 2009 (has links) Quantification of risks is one of the pillars of the contemporary insurance industry. Natural catastrophes and their modelling represents one of the most important areas of non-life insurance in the Czech Republic. One of the key inputs of catastrophe models is a spatial dependence structure in the portfolio of an insurance company. Copulas represents a more general view on dependence structures and broaden the classical approach, which is implicitly using the dependence structure of a multivariate normal distribution. The goal of this work, with respect to absence of comprehensive monographs in the Czech Republic, is to provide a theoretical basis for use of copulas. It focuses on general properties of copulas and specifics of two most commonly used families of copulas -- Archimedean and elliptical. The other goal is to quantify difference between the given copula and the classical approach, which uses dependency structure of a multivariate normal distribution, in modelled flood losses in the Czech Republic. Results are largely dependent on scale of losses in individual areas. If the areas have approximately a "tower" structure (i.e., one area significantly outweighs others), the effect of a change in the dependency structure compared to the classical approach is between 5-10% (up and down depending on a copula) at 99.5 percentile of original losses (a return period of once in 200 years). In case that all areas are approximately similarly distributed the difference, owing to the dependency structure, can be up to 30%, which means rather an important difference when buying the most common form of reinsurance -- an excess of loss treaty. The classical approach has an indisputable advantage in its simplicity with which data can be generated. In spite of having a simple form, it is not so simple to generate Archimedean copulas for a growing number of dimensions. For a higher number of dimensions the complexity of data generation greatly increases. For above mentioned reasons it is worth considering whether conditions of 2 similarly distributed variables and not too high dimensionality are fulfilled, before general forms of dependence are applied.
293	二次擔保債權憑證之評價及其風險衡量－條件機率獨立模型 / The Valuation and Risk Measure of CDO-Squared under Conditional Independence 陳嘉祺 Unknown Date (has links) 本文的主旨在評價二次擔保債權憑證。在條件獨立機率的假設下，我們使用factor copula的方法去刻劃違約事件間的相關係數，並提供了一個有效率的迴圈演算法去建構損失分配。本方法同時考慮違約數目及違約位置，同時亦可解決重疊性的問題。本文所建構的是Hull and White(2004)的延申模型。我們也對各參數作敏感度分析，以求得其對分券價差的影響。文中亦主張一些風險衝量指標，以量化重疊性的程度等風險議題。 / In this paper we address the pricing issues of CDO of CDOs. Underlying the conditional indepdence assumption we use the factor copula approach to characterize the correlation of defaults events. We provide an efficient recursive algorithm that constructs the loss distribution. Our algorithm accounts for the number of defaults, the location of defaults among inner CDOs, and in addition the degree of overlapping between inner CDOs. Our algorithm is a natural extension of the probability bucketing method of Hull and White (2004). We analyze the sensitivity of different parameters on the tranche spreads of a CDO-squared, and in order to characterize the risk-reward profiles of CDO-squared tranches, we introduces appropriate risk measures that quantify the degree of overlapping among the inner CDOs. Hull and White (2004) presents a recursive scheme known as probability bucketing approach to construct conditional loss distribution of CDO. However, this approach is insufficient to capture the complexities of CDO². In the case of the modeling of CDO, we are concerned for the probabilities of different number of defaults upon a time horizon t, e.g., the probabilities of 3 defaults happened within a year. With the mentioned probabilities, we can then calculate the expected loss within the time horizon, which enables us to figure out the spreads of CDO. However, in the modeling of CDO², an appropriate valuation should be able to overcome two more difficulties: (1) the overlapping structure of the underlying CDOs, and (2) the location where defaults happened, in order to get the fair spreads of CDO². 擔保債權憑證二次擔保債權憑證條件機率獨立模型信用衍生性商品評價風險衡量 CDO-Squared CDO^2 Factor Copula Semi-Analytic Approach Credit Derivative Conditonal Independence
294	考慮樣本選擇之兩性薪資低付與差異分析: 隨機邊界關聯結構模型之應用 / An Analysis of Gender Wage Underpayment and Differential with Censoring: A Combination of the Stochastic Frontier Approach with Copula Methods 劉洪禎 Unknown Date (has links) 本文採民國94、96、98、100、102年的台灣「人力運用調查」資料庫, 以關聯結構法找出組合誤差間的關聯結構密度函數與聯合機率密度函數, 建構隨機邊界關聯結構模型, 解決勞動市場上樣本選擇性問題。之後分別針對男性及女性估計薪資方程式, 探討每位勞工的薪資效率程度。本文男、女性的勞工各按年齡、工作經驗、職業、行業、教育程度、公司規模、工作身分、婚姻狀態、工作地分為9大類, 在各類中分群比較薪資效率。實證結果顯示, 公司規模、工作身分、工作地等 3 類, 不論有無考慮樣本選擇, 同一性別中的薪資效率變動趨勢大致一致, 但其餘 6 類, 有考慮樣本選擇的薪資效率變動明顯不同於未考慮樣本選擇。在考慮了樣本選擇之後的實證結果大多打破以往文獻的預期, 可能是因為過往文獻探討薪資效率時, 大多未考慮樣本選擇, 即將無工作者樣本完全排除, 導致迴歸分析結果僅適用於有工作者。除了探討薪資效率外, 本文也嘗試在隨機邊界法的架構下, 提出一個衡量性別歧視的新觀點, 將兩性薪資無效率的差異視為一種性別歧視。若以新觀點衡量台灣的勞動市場, 會發現這5個年度中, 薪資差異幾乎可以完全歸諸於性別歧視。這顯示即使兩性的薪資差異雖然逐年縮小, 但性別的刻板印象仍存於當今的台灣勞動市場, 造成明顯的性別歧視。 / This paper adopts the "Manpower Utilization Survey" data, a database conducted by Directorate General of Budget, Accounting & Statistics, Executive Yuan, ROC (DGBAS), to study the issues of gender wage differentials and underpayment. The econometric model considers sample selection under the framework of the stochastic frontier model with copula methods. It requires to correct for sample selection and derive the copula density function and joint probability density function by copula method. We separately estimate the male and female wage equations, respectively, to evaluate the wage efficiency and decompose the average wage differential between male and female into several components. The paper distinguishes workers into 9 categories, including age, experience, occupation, industry, education, firm size, working identity, marital status and working area, and compares the wage efficiency between those categories. The empirical results shows that, the trend of wage efficiency in the categories of firm size, working identity, and working area are almost the same in each gender whether correcting for the sample selection bias or not. However, in the remaining 6 categories, the wage efficiency changes substantially after correcting the sample selection bias. With the correction of the sample election bias, most of the findings differ from those from the past literatures. This may be attributed to the fact that the past works mainly focus on employed workers and lead to possible sample selection bias. The paper also tries to offer a new method to measure the gender discrimination, which considers the difference in wage inefficiency between the male-female inefficiency as an element of discrimination. The paper finds that the wage differential between male and female can explain almost the entire discrimination. This findings confirms that the gender discrimination still exists in the Taiwan’s labor market eventhough the wage differential between male and female decreases over time. 隨機邊界法關聯結構法 Oaxaca 薪資拆解薪資低付樣本選擇性偏誤性別歧視 stochastic frontier approach copula methods Oaxaca decomposition wage underpayment sample selection bias sex discrimination
295	Die Grammatik prädikativer Ausdrücke im Polnischen und Russischen / The Grammar of Predicate Expressions in Polish and Russian Pitsch, Hagen 28 February 2014 (has links) Diese Dissertation untersucht die lexikalischen und morphosyntaktischen Eigenschaften polnischer und russischer Prädikatsnomina sowie der Kopula (des Kopulalexems). Sie stellt die Kasusvariation (Nominativ vs. Instrumental) sowie die Formvariation (Kurz- vs. Langformadjektiv) an diesen Prädikativen in den Mittelpunkt und hat das Ziel, ihre grammatische Quelle, Funktionsweise und Interpretation bzw. Lesart zu erklären. Dabei werden sowohl die primäre als auch die sekundäre Prädikation betrachtet. Im Rahmen der Formulierung der theoretischen Grundlagen wird ein Vorschlag gemacht, der es gestattet, den viel diskutierten Begriff "Prädikation" referenzsemantisch zu erfassen. Ferner wird vorgeschlagen, Flexionsmorphologie und Semantik (im Sinne von "grammatischer Bedeutung") voneinander zu trennen. In diesem Sinne leistet die vorgelegte Dissertation auch einen Beitrag zur Forschung über die Schnittstelle zwischen Morphosyntax und Semantik. 400 800 Kopula Kopulasatz Prädikativ Modus Verbmodus Tempus Aspekt Russisch Polnisch Kasusvariation Kasusalternation Linguistik Slavisch Syntax Semantik Morphologie Morphosyntax copula copular sentence predicate expression predicate nominal mood tense aspect Russian Polish case variation case alternation linguistics Slavic Slavonic syntax semantics morphosyntax Philologien (PPN621711713)
296	評估極值相依組合信用風險之有效演算法 / Efficient Algorithms for Evaluating Portfolio Credit Risk with Extremal Dependence 施明儒, Shih,Ming Ju Unknown Date (has links) 蒙地卡羅模擬是在組合信用風險的管理上相當實用的計算工具。衡量組合信用風險時，必須以適當的模型描述資產間的相依性。常態關聯結構是目前最廣為使用的模型，但實證研究認為 t 關聯結構更適合用於配適金融市場的資料。在本文中，我們採用 Bassamboo et al. (2008) 提出的極值相依模型建立 t 關聯結構用以捕捉資產之間的相關性。同時，為增進蒙地卡羅法之收斂速度，我們以 Chiang et al. (2007) 的重要性取樣法為基礎，將其拓展到極值相依模型下，並提出兩階段的重要性取樣技巧確保使用此方法估計一籃子信用違約時，所有模擬路徑均會發生信用事件。數值結果顯示，所提出的演算法皆達變異數縮減。而在模型自由度較低或是資產池較大的情況下，兩階段的重要性取樣法將會有更佳的估計效率。我們也以同樣的思路，提出用以估計投資組合損失機率的演算法。雖然所提出的演算法經過重要性取樣的技巧後仍無法使得欲估計的事件在所有模擬路徑下都會發生，但數值結果仍顯示所提出的方法估計效率遠遠優於傳統蒙地卡羅法。 / Monte Carlo simulation is a useful tool on portfolio credit risk management. When measuring portfolio credit risk, one should choose an appropriate model to characterize the dependence among all assets. Normal copula is the most widely used mechanism to capture this dependence structure, however, some emperical studies suggest that $t$-copula provides a better fit to market data than normal copula does. In this article, we use extremal depence model proposed by Bassamboo et al. (2008) to construct $t$-copula. We also extend the importance sampling (IS) procedure proposed by Chiang et al. (2007) to evaluate basket credit default swaps (BDS) with extremal dependence and introduce a two-step IS algorithm which ensures credit events always take place for every simulation path. Numerical results show that the proposed methods achieve variance reduction. If the model has lower degree of freedom, or the portfolio size is larger, the two-step IS method is more efficient. Following the same idea, we also propose algorithms to estimate the probability of portfolio losses. Althought the desired events may not occur for some simulations, even if the IS technique is applied, numerical results still show that the proposed method is much better than crude Monte Carlo. 蒙地卡羅法組合信用風險 t 關聯結構極值相依一籃子信用違約交換重要性取樣變異數縮減 Monte Carlo method Portfolio credit risk t-copula Extremal dependence Basket credit default swaps Importance sampling Variance reduction
297	Modelling of extremes Hitz, Adrien January 2016 (has links) This work focuses on statistical methods to understand how frequently rare events occur and what the magnitude of extreme values such as large losses is. It lies in a field called extreme value analysis whose scope is to provide support for scientific decision making when extreme observations are of particular importance such as in environmental applications, insurance and finance. In the univariate case, I propose new techniques to model tails of discrete distributions and illustrate them in an application on word frequency and multiple birth data. Suitably rescaled, the limiting tails of some discrete distributions are shown to converge to a discrete generalized Pareto distribution and generalized Zipf distribution respectively. In the multivariate high-dimensional case, I suggest modeling tail dependence between random variables by a graph such that its nodes correspond to the variables and shocks propagate through the edges. Relying on the ideas of graphical models, I prove that if the variables satisfy a new notion called asymptotic conditional independence, then the density of the joint distribution can be simplified and expressed in terms of lower dimensional functions. This generalizes the Hammersley- Clifford theorem and enables us to infer tail distributions from observations in reduced dimension. As an illustration, extreme river flows are modeled by a tree graphical model whose structure appears to recover almost exactly the actual river network. A fundamental concept when studying limiting tail distributions is regular variation. I propose a new notion in the multivariate case called one-component regular variation, of which Karamata's and the representation theorem, two important results in the univariate case, are generalizations. Eventually, I turn my attention to website visit data and fit a censored copula Gaussian graphical model allowing the visualization of users' behavior by a graph.
298	Trh kreditních derivátů během finanční krize / Credit Derivatives Market during Recent Financial Crisis Buzková, Petra January 2018 (has links) The dissertation is composed of three empirical research papers analyzing the development on credit derivatives markets in recent years characterized by the global financial crisis in 2007- 2009 and subsequent European sovereign debt crisis. The basic motivation of the thesis is to contribute to the clarification of the turbulent development on credit derivatives markets. The first paper addresses main flaws of a collateralized debt obligation (CDO) market during the global financial crisis. The second paper examines the impact of the Greek debt crisis on sovereign credit default swap (CDS) reliability. The third paper analyzes whether a resulting change in CDS terms restored confidence in CDS contracts. An introductory chapter presents a common framework for the three papers. In the first paper, we examine valuation of a Collateralized Debt Obligation (CDO) in 2007- 2009. One Factor Gaussian Copula Model is presented and five hypotheses regarding CDO sensitivity to entry parameters are analyzed. Four main deficiencies of the CDO market are then articulated: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arising from the valuation model based on expected cash-flows and neglecting other factors such as mark-to-market losses; iii)...
299	Dados de sobrevivência multivariados na presença de covariáveis e observações censuradas: uma abordagem bayesiana Santos, Carlos Aparecido dos 04 March 2010 (has links) Made available in DSpace on 2016-06-02T20:04:51Z (GMT). No. of bitstreams: 1 3028.pdf: 7339557 bytes, checksum: 16711c2271b754604bfa0b0fba30290b (MD5) Previous issue date: 2010-03-04 / In this work, we introduce a Bayesian Analysis for survival multivariate data in the presence of a covariate vector and censored observations. Different frailties or latent variables are considered to capture the correlation among the survival times for the same individual. We also introduce a Bayesian analysis for some of the most popular bivariate exponential distributions introduced in the literature. A Bayesian analysis is also introduced for the Block & Basu bivariate exponential distribution using Markov Chain Monte Carlo (MCMC) methods and considering lifetimes in presence of covariates and censored data. In another topic, we introduce a Bayesian Analysis for bivariate lifetime data in the presence of covariates and censoring data assuming different bivariate Weibull distributions derived from some existing copula functions. A great computational simplification to simulate samples for the joint posterior distribution is obtained using the WinBUGS software. Numerical illustrations are introduced considering real data sets considering every proposed methodology. / Nesta tese introduzimos uma an´alise Bayesiana para dados de sobreviv encia multivariados, na presen¸ca de um vetor de covari´aveis e observa¸c oes censuradas. Diferentes fragilidades ou vari´aveis latentes s ao consideradas para capturar a correla¸c ao existente entre os tempos de sobreviv encia, para o mesmo indiv´ıduo. Tamb´em apresentamos uma an´alise Bayesiana para algumas das mais populares distribui¸c oes exponenciais bivariadas introduzidas na literatura. Uma an´alise Bayesiana tamb´em ´e introduzida para a distribui¸c ao exponencial bivariada de Block & Basu, usando m´etodos MCMC (Monte Carlo em Cadeias de Markov) e considerando os tempos de sobreviv encia na presen¸ca de covari´aveis e dados censurados. Em outro t´opico, introduzimos uma an´alise Bayesiana para dados de sobreviv encia bivariados na presen¸ca de covari´aveis e observa¸c oes censuradas, assumindo diferentes distribui¸c oes bivariadas Weibull derivadas de algumas fun¸c oes c´opulas existentes. Uma grande simplifica¸c ao computacional para simular amostras da distribui¸c ao a posteriori conjunta de interesse ´e obtida usando o software WinBUGS. Ilustra¸c oes num´ericas s ao introduzidas considerando conjunto de dados reais, para cada uma das metodologias propostas. Análise de sobrevivência Inferência bayesiana Cópula Algorítmos MCMC Dados censurados Distribuições bivariadas Weibull Álise Bayesiana Covariáveis Bivariate Weibull distributions Copula functions MCMC methods Bayesian analysis Censoring data Covariates
300	Estimation de paramètres en exploitant les aspects calculatoires et numériques Kadje Kenmogne, Romain 08 1900 (has links) No description available. Convergence de variables aléatoires Copule Différence de variables de loi gamma Estimateur équivariant Estimation des paramètres Fonction caractéristique Méthode bayésienne Pseudo-vraisemblance Rapport de variables gaussiennes Vraisemblance des rangs Bayesian method Characteristic function Convergence of random variables Copula Difference of gamma variates Equivariant estimator Parameter estimation Pseudo-likelihood Rank-likelihood Ratio of normal variables

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