Under path dependent consideration, we discuss vulnerable option pricing problem. Two pricing models are proposed: Model(1) use stepwise regression and Monte Carlo simulation, and Model(2) is based on multi-level regression method. Since the option price was approximated by quadratic surface at each time point in Model(1), large mean square errors are induced. Therefore, we further propose a stepwise subset regression method to improve Model(1) approach. At present, this proposed method can compute the option price accurately for no credit risk options. For Model(2), we utilize a multi-level regression method to price vulnerable options, and simulation results show that the method can also obtain accurate option prices.

Robust regression is a commonly required approach in industrial studies like data mining, quality control and improvement, and finance areas. Among the robust regression methods / Least Median Squares, Least Trimmed Squares, Mregression, MM-method, Least Absolute Deviations, Locally Weighted Scatter Plot Smoothing and Multivariate Adaptive Regression Splines are compared under contaminated normal distributions with each other and Ordinary Least Squares with respect to the multiple outlier detection performance measures. In this comparison / a simulation study is performed by changing some of the parameters such as outlier density, outlier locations in the x-axis, sample size and number of independent variables. In the comparison of the methods, multiple outlier detection is carried out with respect to the performance measures detection capability, false alarm rate and improved mean square error and ratio of improved mean square error. As a result of this simulation study, the three most competitive methods are compared on an industrial data set with respect to the coefficient of multiple determination and mean square error.

ABSTRACT PREDICTION OF LITIGATION PROBABILITY FOR INTERNATIONAL CONSTRUCTION PROJECTS DURING BIDDING STAGE Ayten, ilkay M.S., Department of Civil Engineering Supervisor: Assoc. Prof. Dr. Rifat S&ouml / nmez February 2010, 102 pages Over the years many researchers agreed that between the parties involved in construction projects such as / owner, contractor, engineer and suppliers trying to perform different scopes in different timetables. Therefore, disputes are inevitable due to the complexity of the work. Occurrence of litigation is the most terrifying process to deal with during any construction project for both owner and the contractor because of the time and money consuming nature of the process. Hence, contractors should try to eliminate any potential risk factors that will lead to litigation. The aim of this study is to investigate the factors that influence court action between parties in international construction projects and develop a statistical model that will predict the litigation probability of an international construction project during bidding stage. The final prediction model revealed that contractual awareness and consciousness of risk factors is the key to predict litigation probability. Considering awareness of the factors affecting litigation probability are displayed in this thesis. Companies may have the opportunity to develop risk assessment and management strategies while reconsidering their contingency estimates.

Medical research currently involves the collection of large and complex data. One such type of data is functional data where the unit of measurement is a curve measured over a grid. Functional data comes in a variety of forms depending on the nature of the research. Novel methodologies are required to accommodate this growing volume of functional data alongside new testing procedures to provide valid inferences. In this dissertation, I propose three novel methods to accommodate a variety of questions involving functional data of multiple forms. I consider three novel methods: (1) a function-on-function regression for Gaussian data; (2) a historical functional linear models for repeated measures; and (3) a generalized functional outcome regression for ordinal data. For each method, I discuss the existing shortcomings of the literature and demonstrate how my method fills those gaps. The abilities of each method are demonstrated via simulation and data application.

The purpose of this study was to investigate the relationship between cigarette smoking and socio-demographic variables based on the empirical literature and the primitive theories in the field. Two regression approaches, logistic regression and linear multiple regression, were conducted on the two most recent Arizona Adult Tobacco Surveys to test the hypothesized models. The results showed that cigarette smokers in Arizona are mainly residents who have not completed a four-year college degree, who are unemployed, White, non-Hispanic, or young to middle-aged adults. Among the socio-demographic predictors of interest, education is the most important variable in identifying cigarette smokers, even though the predictive power of these socio-demographic variables is small. Practical and methodological implications of these findings are discussed.

To significantly improve the early detection of cervical precancers and cancers, LightTouch™ is under development by SpectRx Inc.. LightTouch™ identifies cancers and precancers quickly by using a spectrometer to analyze light reflected from the cervix. Data from the spectrometer is then used to create an image of the cervix that highlights the location and severity of disease. Our research is conducted to find the appropriate models that can be used to generate map-like image showing disease tissue from normal and further diagnose the cervical cancerous conditions. Through large work of explanatory variable search and reduction, logistic regression and Partial Least Square Regression successfully applied to our modeling process. These models were validated by 60/40 cross validation and 10 folder cross validation. Further examination of model performance, such as AUC, sensitivity and specificity, threshold had been conducted.

Substance abuse is the overindulgence in and dependence on a drug or chemical leading to detrimental effects on the individual’s health and the welfare of those surrounding him or her. Logistic regression analysis is an important tool used in the analysis of the relationship between various explanatory variables and nominal response variables. The objective of this study is to use this statistical method to determine the factors which are considered to be significant contributors to the use or abuse of substances in school-aged children and also determine what measures can be implemented to minimize their effect. The logistic regression model was used to build models for the three main types of substances used in this study; Tobacco, Alcohol and Drugs and this facilitated the identification of the significant factors which seem to influence their use in children.

Most American universities and colleges require students to provide faculty evaluation at end of each academic term, as a way of measuring faculty teaching performance. Although some analysts think that this kind of evaluation does not necessarily provide a good measurement of teaching effectiveness, there is a growing agreement in the academic world about its reliability. This study attempts to find any strong statistical evidence supporting faculty evaluation by students as a measure of faculty teaching effectiveness. Emphasis will be on analyzing relationships between instructor ratings by students and corresponding students’ grades. Various statistical methods are applied to analyze a sample of real data and derive conclusions. Methods considered include multivariate statistical analysis, principal component analysis, Pearson's correlation coefficient, Spearman's and Kendall’s rank correlation coefficients, linear and logistic regression analysis.

An experiment was conducted to obtain a hepatic gene expression dataset from postpubertal dairy heifers that could be fit to a computational model capable of predicting future lactation performance values. The initial animal experiment was conducted to characterize the hepatic transcriptional response to 24-hour total feed withdrawal in one-hundred and two postpubertal Holstein dairy heifers using an 8329-gene oligonucleotide microarray in a randomized block design. Plasma concentration of non-esterified fatty acids was significantly higher, while levels of beta-hydroxybutyrate, triacylglycerol, and glucose were significantly lower with the 24-hour total feed withdrawal. In total, 505 differentially expressed genes were identified and microarray results were confirmed by real-time PCR. Upregulation of key gluconeogenic genes occurred despite diminished dietary substrate and lower hepatic glucose synthesis. Downregulation of ketogenic genes was contrary to the non-ruminant response to feed withdrawal, but was consistent with a lower ruminal supply of short-chain fatty acids as precursors. Following the microarray experiment, the first series of regression analyses was employed to identify relationships between gene expression signal and lactation performance measurements taken over the first lactation of 81 of the subjects from the original study. Regression models were evaluated using mean square prediction error (MSPE) and concordance correlation coefficient (CCC) analysis. The strongest validated stepwise regression models were constructed for milk protein percentage (r = 0.04) and lactation persistency (r = 0.09). To determine if another type of regression analysis would better predict lactation performance, partial least squares (PLS) regression analysis was then applied. Selection of gene expression data was based on an assessment of the linear dependence of all genes in normalized datasets for 81 subjects against 18 dairy herd index (DHI) variables using Pearson correlation analysis. Results were distributed into two lists based on correlation coefficient. Each gene expression dataset was used to construct PLS models for the purpose of predicting lactation performance. The strongest predictive models were generated for protein percentage (r = 0.46), 305-d milk yield (r = 0.44), and 305-d protein yield (r = 0.47). These results demonstrate the suitability of using hepatic gene expression in young animals to quantitatively predict future lactation performance. / Ontario Centre for Agricultural Genomics, NSERC Canada, and the Ontario Ministry of Agriculture, Food and Rural Affairs (OMAFRA)

Substance abuse is the overindulgence in and dependence on a drug or chemical leading to detrimental effects on the individual’s health and the welfare of those surrounding him or her. Logistic regression analysis is an important tool used in the analysis of the relationship between various explanatory variables and nominal response variables. The objective of this study is to use this statistical method to determine the factors which are considered to be significant contributors to the use or abuse of substances in school-aged children and also determine what measures can be implemented to minimize their effect. The logistic regression model was used to build models for the three main types of substances used in this study; Tobacco, Alcohol and Drugs and this facilitated the identification of the significant factors which seem to influence their use in children.