The extent of Arctic sea ice has decreased over the years and the importance of sea ice monitoring is expected to increase. Remote sensing change detection compares images acquired over the same geographic area at different times in order to identify changes that might have occurred in the area of interest. Change detection methods have been developed for cryospheric topics. The Kittler-Illingworth thresholding algorithm has proven to be an effective change detection tool, but has not been used for sea ice. Here it is applied to Arctic sea ice data. The objective is to investigate the unsupervised detection of changes in Arctic sea ice using multi-temporal SAR images. The well-known Kittler-Illingworth algorithm is tested using two density function models, i.e., the generalized Gaussian and the log-normal model. The difference image is obtained using the modified ratio operator. The histogram of the change image, which approximates its probability distribution, is considered to be a combination of two classes, i.e., the changed and unchanged classes. Histogram fitting techniques are used to estimate the unknown density functions and the prior probabilities. The optimum threshold is selected using a criterion function directly related to classification error. In this thesis three datasets were used covering parts of the Beaufort Sea from the years 1992, 2002, 2007 and 2009. The SAR and ASAR C-band data came from satellites ERS and ENVISAT respectively. All three were interpreted visually. For all three datasets, the generalized Gaussian detected a lot of change, whereas the log-normal detected less. Only one small subset of a dataset was validated against reference data. The log-normal distribution then obtained 0% false alarm rate through all trials. The generalized Gaussian obtained false alarm rates around 4% for most of the trials. The generalized Gaussian achieved detection accuracies around 95%, whereas the log-normal achieved detection accuracies around 70%. The overall accuracies for the generalized Gaussian were about 95% in most trials. The log-normal achieved overall accuracies at around 85%. The KHAT for the generalized Gaussian was in the range of 0.66-0.93. The KHAT for log-normal was in the range of 0.68-0.77. Using one additional speckle filter iteration increased the accuracy for the log-normal distribution. Generally, the detection of positive change has been accomplished with higher level of accuracy compared with negative change detection. A visual inspection shows that the generalized Gaussian distribution probably over-estimates the change. The log-normal distribution consistently detects less change than the generalized Gaussian. Lack of validation data made validation of the results difficult. The performed validation might not be reliable since the available validation data was only SAR imagery and differentiating change and no-change is difficult in the area. Further due to the lack of reference data it could not be decided, with certainty, which distribution performed the best. / Ytan av arktisk havsis har minskat genom åren och vikten av havsisövervakning förväntas öka. Förändrigsdetection jämför bilder från samma geografiska område från olika tidpunkter föra att identifiera förändringar som kan ha skett i intresseområdet. Förändringsdekteringsmetoder har utvecklats för kryosfäriska ämnen. Tröskelvärdesbestämning med Kittler-Illingworth algoritmen har visats sig vara ett effektivt verktyg för förändringsdetektion, men har inte änvänts på havsis. Här appliceras algoritmen på arktisk havsis. Målet är att undersökra oövervakad förändringsdetektion i arktisk havsis med multitemporella SAR bilder. Den välkända Kittler-Illingworth algoritmen testas med två täthetsfunktioner, nämligen generaliserad normaldistribution och log-normal distributionen. Differensbilden erhålls genom den modifierad ratio-operator. Histogrammet från förändringsbilden skattar dess täthetsfunktion, vilken anses vara en kombination av två klasser, förändring- och ickeförändringsklasser. Histogrampassningstekniker används för att uppskatta de okända täthetsfunktionerna och a priori sannolikheterna. Det optimala tröskelvärdet väljs genom en kriterionfunktion som är direkt relaterad till klassifikationsfel. I detta examensarbete användes tre dataset som täcker delar av Beaufort-havet från åren 1992, 2002, 2007 och 2009. SAR C-band data kom från satelliten ERS och ASAR C-band data kom från satelliten ENVISAT. Alla tre tolkades visuellt och för alla tre detekterade generaliserad normaldistribution mycket mer förändring än lognormal distributionen. Bara en mindre del av ett dataset validerades mot referensdata. Lognormal distributionen erhöll då 0% falska alarm i alla försök. Generalised normaldistributionen erhöll runt 4% falska alarm i de flesta försöken. Generaliserad normaldistributionen nådde detekteringsnoggrannhet runt 95% medan lognormal distributionen nådde runt 70%. Generell noggrannheten för generaliserad normaldistributionen var runt 95% i flesta försöken. För lognormal distributionen nåddes en generell noggrannhet runt 85%. KHAT koefficienten för generaliserad normaldistributionen var i intervallet 0.66-0.93. För lognormal distributionen var den i intervallet 0.68-0.77. Med en extra speckle-filtrering ökades nogranneheten för lognormal distributionen. Generellt sett, detekterades positiv förändring med högre nivå av noggrannhet än negativ förändring. Visuell inspektion visar att generaliserad normaldistribution troligen överskattar förändringen. Lognormal distributionen detekterar konsistent mindre förändring än generaliserad normaldistributionen. Bristen på referensdata gjorde valideringen av resultaten svårt. Den utförda valideringen är kanske inte så trovärdig, eftersom den tillgänliga referensdatan var bara SAR bilder och att särskilja förändring och ickeförändring är svårt i området. Vidare, på grund av bristen på referensdata, kunde det inte bestämmas med säkerhet vilken distribution som var bäst.

本文包含關於估計風險與動態資產配置的兩篇研究。第一篇研究主要就當須估計的投資組合其投入參數具有高維度特質的觀點下，探究因忽略不確定性通膨而對資產配置過程中帶來的估計風險。此研究基於多重群組架構下所發展出的新投資決策法則，能夠確實地評價不確定性通膨對資產報酬的影響性，並在應用於建構大規模投資組合時，能有效減少進行最適化投資決策過程中所需的演算時間與成本。而將此模型應用於建構全球ETFs投資組合的實證結果則進一步顯示，若在均值變異數架構下，因建構大型投資組合時須估計高維度投入參數而伴隨有大量估計風險時，參數估計方式建議結合採用貝氏估計方法來估算資產報酬的一階與二階動差，其所對應得到的投資組合樣本外績效會比直接採用歷史樣本動差來得佳。此實證結果亦隱含：在均值變異數架構下，穩定的參數估計值比起最新且即時的參數估計資訊對於投資組合的績效來得有益。同時，若當投入參數的樣本估計值波動很大時，增加放空限制亦能有利投組樣本外績效。 第二篇文章則主要處理當處於對數常態證券市場下時，投資組合報酬率不具有有限動差並導致無法在均值變異數架構下發展出最適化封閉解時的難題。本研究示範此時可透過漸近方法的應用，有效發展出在具有放空限制下，考量了估計風險後的簡單投資組合配置法則，並且展示如何將其應用至實務上的資產配置過程以建構全球投資組合。本文的數值範例與實證模擬結果皆顯示，估計風險的存在對於最適投資組合的選擇有實質的影響，無估計風險下得出的最適投資組合，不必然是存有估計風險下的最適投資組合。此外，實證模擬結果亦證明，當存有估計風險時，本文所發展的簡單法則，能使建構出的投資組合具有較佳的樣本外績效表現。 / This dissertation consists of two essays on dynamic asset allocation with regard to dealing with estimation risk as being in different uncertainties in the mean-variance framework. The first essay concerns estimation errors from disregarding uncertain inflation in terms of the need in estimating high-dimensional input parameters for portfolio optimization. This study presents simplified and valid criteria referred to as the EGP-IMG model based on the multi-group framework to be capable of pricing inflation risk in a world of uncertainty. Empirical studies shows the proposed model indeed provides a smart way in picking worldwide ETFs that serves well to reduce the amount of costs and time in constructing a global portfolio when facing a large number of investment products. The effect of Bayesian estimation on improving estimation risk as the decision maker is subject to history sample moments for input parameters estimations is meanwhile examined. The results indicate portfolios implementing the Stein estimation and shrinkage estimators offer better performance compared with those applying the history sample estimators. It implicitly demonstrates that yielding stable estimates for means and covariances is more critical in the MV framework than getting the newest up-to-date parameters estimates for improving portfolio performance. Though short-sales constraints intuitively should hurt, they do practically contribute to uplift portfolio performance as being subject to volatile estimates of returns moments. The second essay undertakes the difficulty that the probability distribution of a portfolio's returns may not have finite moments in a lognormal-securities market, and thus leads to the arduous problem in solving the closed-form solutions for the optimal portfolio under the mean-variance framework. As being in a lognormal-securities market, this study systematically delivers a simple rule in optimization with regard to the presence of estimation risk. The simple rule is derived accordingly by means of asymptotic properties when short sales are not allowed. The consequently numerical example specifies the detailed procedures and shows that the optimal portfolio with estimation risk is not equivalent to that ignoring the existence of estimation risk. In addition, the portfolio performance based on the proposed simple rule is examined to present a better out-of-sample portfolio performance relative to the benchmarks.

台灣特殊的兩黨對立政治環境及幾乎每年都會有的固定選舉，使得政治的不確定性深深的影響著國內的投資環境及投資人心態。本研究便是要探討，2002/1/1~2006/1/16 研究期間台灣的投資人在選舉前後的投資行為，是否真如大家所預期的，會受到台灣選舉事件的影響。 本研究首先利用適當的機率密度函數模型及選擇權市場資訊來導出隱含的風險中立密度值。再利用這些風險中立密度值，求出各個選舉事件相對應的機率分配圖形，並透過其機率分配圖形及波動率指數等統計值於投票日前後的變化來觀察某一選舉事件前後投資者的反應。 研究結果發現：1. 選舉事件的發生確實會影響投資者的心理，且投資者會透過選擇權市場有效率的反應預期的未來股價指數分佈情況。2. 越大型、越具爭議且全國性的選舉結果，其選舉期間機率分配圖形及波動率指數具有較高的波動性。3. 一般而言，選舉過後市場不確定因素降低，將使投資者對於股市的預期較為一致和樂觀。而若這個選舉結果使投資者感到意外，因而增加了市場的不確定性，則選後機率分配圖形及波動率指數的改變反而會更為明顯。4. 在此研究下對數常態混合法比傳統的 Black-Scholes 方法產生較低的誤差值，因此就實證的分析上能提供更好的配適。 / This research examines the behavior of investors during election periods from January 1st 2002 to January 6th 2006 in Taiwan. The research includes a few steps. First, we adopted a proper probability density function composed of stock index options data to construct the implied distribution. Then, when changing the whole shape of the risk-neutral implied distribution, the volatility indexes, and the statistics of the implied distribution, we observed investors' response around a specific election event. According to the empirical results, we found that: 1. An election event would influence investors’ behavior, and investors tend to reflect their expectation of future stock index in the option market in an efficient way. 2. The result of a large-scale and more disputed nationwide election will cause a higher fluctuation in both the implied distribution and the volatility index. 3. In general, the factor resulting from investors’ uncertainty of the market is likely to reduce after the election, which makes investors’ relatively unanimous and optimistic expectation of the stock market. However, if this election result surprises investors, their uncertainty of the market will increase, and thus the changes of the implied distribution and the volatility index become quite obvious. 4. The in-sample performance of the lognormal mixtures method employed in the research is considerably better than that of the traditional Black-Scholes model by having a lower root mean squared error.

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Traffic safety has been considered one of the most important issues in the transportation field. With consistent efforts of transportation engineers, Federal, State and local government officials, both fatalities and fatality rates from road traffic crashes in the United States have steadily declined from 2006 to 2011.Nevertheless, fatalities from traffic crashes slightly increased in 2012 (NHTSA, 2013). We lost 33,561 lives from road traffic crashes in the year 2012, and the road traffic crashes are still one of the leading causes of deaths, according to the Centers for Disease Control and Prevention (CDC). In recent years, efforts to incorporate traffic safety into transportation planning has been made, which is termed as transportation safety planning (TSP). The Safe, Affordable, Flexible Efficient, Transportation Equity Act - A Legacy for Users (SAFETEA-LU), which is compliant with the United States Code, compels the United States Department of Transportation to consider traffic safety in the long-term transportation planning process. Although considerable macro-level studies have been conducted to facilitate the implementation of TSP, still there are critical limitations in macroscopic safety studies are required to be investigated and remedied. First, TAZ (Traffic Analysis Zone), which is most widely used in travel demand forecasting, has crucial shortcomings for macro-level safety modeling. Moreover, macro-level safety models have accuracy problem. The low prediction power of the model may be caused by crashes that occur near the boundaries of zones, high-level aggregation, and neglecting spatial autocorrelation. In this dissertation, several methodologies are proposed to alleviate these limitations in the macro-level safety research. TSAZ (Traffic Safety Analysis Zone) is developed as a new zonal system for the macroscopic safety analysis and nested structured modeling method is suggested to improve the model performance. Also, a multivariate statistical modeling method for multiple crash types is proposed in this dissertation. Besides, a novel screening methodology for integrating two levels is suggested. The integrated screening method is suggested to overcome shortcomings of zonal-level screening, since the zonal-level screening cannot take specific sites with high risks into consideration. It is expected that the integrated screening approach can provide a comprehensive perspective by balancing two aspects: macroscopic and microscopic approaches.

In this paper, we first present the basic principles of set theory and combinatorial analysis which are the most useful tools in computing probabilities. Then, we show some important properties derived from axioms of probability. Conditional probabilities come into play not only when some partial information is available, but also as a tool to compute probabilities more easily, even when partial information is unavailable. Then, the concept of random variable and its some related properties are introduced. For univariate random variables, we introduce the basic properties of some common discrete and continuous distributions. The important properties of jointly distributed random variables are also considered. Some inequalities, the law of large numbers and the central limit theorem are discussed. Finally, we introduce additional topics the Poisson process.