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The Ex-dividend Effect in Taiwan Stock Market -- The Case of IC IndustryLin, Yuan-ching 10 July 2008 (has links)
Academically, the ex-dividend is a neutral event in stock market. It not only has no positive material influence on firms¡¦ value but also creates no real worth for shareholders. However, lots of prior studies indeed proved there is conspicuous abnormal return during the few of ex-dividend dates and advanced plenty of hypotheses to explain the ex-dividend effect.
Based on these inferences, my study more focus on the different of ex-dividend effect on the IC industry and the individual IC enterprise with different attributes. The study period is from 1998 to 2007. The study targets are the ex-dividend events of the all IC firms in Taiwan stock market. After eliminating the samples with incomplete data and disagreement, the sum of samples is 318 ex-dividend events of the 80 firms.
The result of my study has five points. First, the ex-dividend effect is existence in the IC industry and there is no distinct trend during the study period. Second, the IC design industry, IC manufacture industry and IC assembly and test industry have the apparently different ex-dividend effect. Third, the samples in the bullish market and with low PBR and MSCI weight have obviously better ex-dividend effect. Fourth, the samples with low earning growth ratio and middle stock dividend ratio have better ex-dividend effect, but not obviously. Finally, before the ex-dividend dates, the samples with low employee stock bonus ratio have better ex-dividend effect. After the ex-dividend dates, the samples with high employee stock bonus ratio contrarily have better ex-dividend effect.
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Regression and residual analysis in linear models with interval censored dataTopp, Rebekka 19 July 2002 (has links)
This work consists of two parts, both related with regression analysis for interval censored data. Interval censored data x have the property that their value cannot be observed exactly but only the respective interval [xL,xR] which contains the true value x with probability one.In the first part of this work I develop an estimation theory for the regression parameters of the linear model where both dependent and independent variables are interval censored. In doing so I use a semi-parametric maximum likelihood approach which determines the parameter estimates via maximization of the likelihood function of the data. Since the density function of the covariate is unknown due to interval censoring, the maximization problem is solved through an algorithm which frstly determines the unknown density function of the covariate and then maximizes the complete data likelihood function. The unknown covariate density is hereby determined nonparametrically through a modification of the approach of Turnbull (1976). The resulting parameter estimates are given under the assumption that the distribution of the model errors belong to the exponential familiy or are Weibull. In addition I extend my extimation theory to the case that the regression model includes both an interval censored and an uncensored covariate. Since the derivation of the theoretical statistical properties of the developed parameter estimates is rather complex, simulations were carried out to determine the quality of the estimates. As a result it can be seen that the estimated values for the regression parameters are always very close the real ones. Finally, some alternative estimation methods for this regression problem are discussed.In the second part of this work I develop a residual theory for the linear regression model where the covariate is interval censored, but the depending variable can be observed exactly. In this case the model errors appear to be interval censored, and so the residuals. This leads to the problem of not directly observable residuals which is solved in the following way: Since one assumption of the linear regression model is the N(0,2)-distribution of the model errors, it follows that the distribtuion of the interval censored errors is a truncated normal distribution, the truncation being determined by the observed model error intervals. Consequently, the distribution of the interval censored residuals is a -distribution, truncated in the respective residual interval, where the estimation of the residual variance is accomplished through the method of Gómez et al. (2002). In a simulation study I compare the behaviour of the so constructed residuals with those of Gómez et al. (2002) and a naïve type of resiudals which considers the middle of the residual interval as the observed residual. The results show that my residuals can be used for most of the simulated scenarios, wheras this is not the case for the other two types of residuals. Finally, my new residual theory is applied to a data set from a clinical study.
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Actuarial Inference and Applications of Hidden Markov ModelsTill, Matthew Charles January 2011 (has links)
Hidden Markov models have become a popular tool for modeling long-term investment guarantees. Many different variations of hidden Markov models have been proposed over the past decades for modeling indexes such as the S&P 500, and they capture the tail risk inherent in the market to varying degrees. However, goodness-of-fit testing, such as residual-based testing, for hidden Markov models is a relatively undeveloped area of research. This work focuses on hidden Markov model assessment, and develops a stochastic approach to deriving a residual set that is ideal for standard residual tests. This result allows hidden-state models to be tested for goodness-of-fit with the well developed testing strategies for single-state
models.
This work also focuses on parameter uncertainty for the popular long-term equity hidden Markov models. There is a special focus on underlying states that represent lower returns and higher volatility in the market, as these states can have the largest impact on investment guarantee valuation. A Bayesian approach for the hidden Markov models is applied to address the issue of parameter uncertainty and the impact it can have on investment guarantee models.
Also in this thesis, the areas of portfolio optimization and portfolio replication under a hidden Markov model setting are further developed. Different strategies for optimization and portfolio hedging under hidden Markov models are presented and compared using real world data. The impact of parameter uncertainty, particularly with model parameters that are connected with higher market volatility, is once again a focus, and the effects of not taking parameter uncertainty into account when optimizing or hedging in a hidden Markov
are demonstrated.
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Actuarial Inference and Applications of Hidden Markov ModelsTill, Matthew Charles January 2011 (has links)
Hidden Markov models have become a popular tool for modeling long-term investment guarantees. Many different variations of hidden Markov models have been proposed over the past decades for modeling indexes such as the S&P 500, and they capture the tail risk inherent in the market to varying degrees. However, goodness-of-fit testing, such as residual-based testing, for hidden Markov models is a relatively undeveloped area of research. This work focuses on hidden Markov model assessment, and develops a stochastic approach to deriving a residual set that is ideal for standard residual tests. This result allows hidden-state models to be tested for goodness-of-fit with the well developed testing strategies for single-state
models.
This work also focuses on parameter uncertainty for the popular long-term equity hidden Markov models. There is a special focus on underlying states that represent lower returns and higher volatility in the market, as these states can have the largest impact on investment guarantee valuation. A Bayesian approach for the hidden Markov models is applied to address the issue of parameter uncertainty and the impact it can have on investment guarantee models.
Also in this thesis, the areas of portfolio optimization and portfolio replication under a hidden Markov model setting are further developed. Different strategies for optimization and portfolio hedging under hidden Markov models are presented and compared using real world data. The impact of parameter uncertainty, particularly with model parameters that are connected with higher market volatility, is once again a focus, and the effects of not taking parameter uncertainty into account when optimizing or hedging in a hidden Markov
are demonstrated.
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Calibration Efficacy of Three Logistic Models to the Degrees of Reading Power Test Using Residual AnalysisGranville, Monique V. 12 June 1999 (has links)
The publisher of the Degrees of Reading Power test of reading comprehension (DRP) calibrate their test using an item response model called the Rasch or one-parameter logistic model. The relationship between the use of the Rasch model in calibration of the DRP and the use of the DRP as a component of the Virginia Literacy Passport Testing Program (LPT) is addressed. Analyses concentrate on sixth grade students who were administered the DRP in 1991. The question that arises is whether the Rasch model is the appropriate model to use to calibrate the DRP in this high-stakes setting. The majority of research that has been reported by the publisher of the DRP to assess the adequacy of the Rasch model have not included direct checks on model assumptions, model features or model predictions. Instead, they have relied almost exclusively on statistical tests in assessment of model fit. This study will assess the adequacy of fitting DRP test data to the Rasch model through direct examination of the assumptions, features and predictions of the IRT model. This is accomplished by comparing the Rasch model to the less restrictive two- and three-parameter logistic models. Robust IRT-based goodness-of-fit techniques are conducted. When the DRP is used in a high stakes setting, guessing is likely for those in jeopardy of failing. Under these circumstances, we must attend to the possibility that guessing may be a factor and thereby calibrate the DRP with the three-parameter model, as this model takes guessing into account. / Ph. D.
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Modelo de regressão log-Weibull modificado e a nova distribuição Weibull modificada generalizada / Log-modified Weibull regression models and a new generalized modified Weibull distributionFarfán Carrasco, Jalmar Manuel 09 November 2007 (has links)
Neste trabalho propomos um modelo de regress~ao utilizando a distribuição Weibull modificado, esta distribuição pode ser usada para modelar dados de sobrevivência quando a de função de risco tem forma de U ou banheira. Assumindo dados censurados, é considerado os estimadores de máxima verossimilhança e Jackknife para os parâmetros do modelo proposto. Foram derivadas as matrizes apropriadas para avaliar influiência local sobre os parâmetros estimados considerando diferentes peturbações e também é apresen- tada alguma medidas de influência global. Para diferentes parâmetros fixados, tamanhos de amostra e porcentagem de censuras, varia simulações foram feitas para avaliar a distribuição empírica do resíduo deviance modificado e comparado coma distribuição normal padrão. Esses estudos sugerem que a distribuição empírica do resíduo devianve modificado para o modelo de regressão log-Weibull modificado com dados censurados aproxima-se de uma dis- tribuição normal padrão. Finalmente analisamos um conjunto de dados utilizando o modelo de regressão log-Weibull modificado. Uma nova distribuição de quatro parâmetros é definida para modelar dados de tempo de vida. Algumas propriedades da distribuição é discutida, assim como ilustramos com exemplos a aplicação dessa nova distribuição. Palavras-chaves: Modelo de regressão; Distribuição Weibull modificada; Distribuição weibull modificada generalizada; Análise de sensibilidade; Dados censurados; Análise de resíduo / In this paperwork are proposed a regression model considering the modified Weibull distribution. This distribution can be used to model bathtub-shaped failure rate functions. Assuming censored data, we consider a classic and Jackknife estimator for the parameters of the model. We derive the appropriate matrices for assessing local influence on the parameter estimates under diferent perturbation schemes and we also present some ways to perform global influence. Besides, for diferent parameter settings, sample sizes and censoring percentages, various simulations are performed and the empirical distribution of the deviance modified residual is displayed and compared with the standard normal distribution. These studies suggest that the residual analysis usually performed in normal linear regression models can be straightforwardly extend for a martingale-type residual in log-modifiedWeibull regression models with censored data. Finally, we analyze a real data set under log-modified Weibull regression models. A diagnostic analysis and a model checking based on the deviance modified residual are performed to select an appropriate model. A new four-parameter distribution is introduced. Various properties the new distribution are discussed. Illustrative examples based on real data are also given.
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Uma modelagem estatística aplicada ao controle biológico da praga que ataca a cultura do algodão / An statistical model applied to the biological control of the pest that attacks the cotton cropTaveira, Abraão de Paula 02 October 2017 (has links)
As distribuições de probabilidade gama, normal inversa, Weibull, log-normal e exponencial são uma boa alternativa para modelar observações associadas ao tempo, pois, em geral, a variável tempo possui assimetria à esquerda ou à direita, o que caracteriza as distribuições citadas anteriormente. O objetivo deste trabalho constitui-se em avaliar o comportamento dos predadores, Euborellia annulipes (\"Tesourinha\") e Harmonia axyridis (\"Joaninha\"), em relação à praga conhecida como Aphis gossypii (\"Pulgão\"). Outra pretensão deste trabalho é a aplicação da modelagem estatística, dando ênfase as técnicas dos modelos lineares generalizados e análise de sobrevivência, as quais foram aplicadas aos dados provenientes de um experimento, instalado no Laboratório de Ecologia de Insetos da Escola Superior de Agricultura \"Luiz de Queiroz\" (ESALQ). O experimento foi composto por 21 repetições, sendo cada repetição efetuada por meio de uma placa de Petri medido 60 X 15 mm. Em cada placa foi liberado um pulgão adulto áptero na parte central, tendo três pesquisadores responsáveis por observar a varável definida como tempo de ataque. Inicialmente, foram ajustados os modelos com distribuição gama e diferentes funções de ligação, e o modelo com a distribuição normal inversa com função de ligação canônica. Esses modelos foram ajustados aos dados desconsiderando as censuras, em que por meio do gráfico half-normal plot e testes de hipóteses, verificou que o modelo com a distribuição normal inversa com função de ligação canônica, apresentou o melhor ajuste. Posteriormente, foram ajustados os modelos exponencial, Weibull e log-normal para os dados considerando as censuras, os quais foram avaliados mediante o teste de razão de verossimilhança, sendo o modelo log-normal mais apropriado aos dados. / The probability density function of gamma, inverse normal, Weibull, log-normal and exponential distributions are good alternatives for modelling observations related with time, since, in general, the time variable has left or right asymmetry, which characterizes the distributions previously mentioned . The aim of this work is the application of statistical modeling, emphasizing the techniques of generalized linear models and survival analysis, which were applied to data from an experiment, installed in the Laboratory of Insect Ecology of the \"Luiz de Queiroz\" College of Agriculture (ESALQ), in which the goal of this experiment was to evaluate the behavior of predators, Euborellia annulipes (\"ring-legged earwig\") and Harmonia axyridis (\"Ladybird\"), in relation to the pest known as Aphis. The experiment was composed of 21 replicates, each replicate being done by means of a petri dish measured 60 X 15 mm. On each plate an adult aphid was released in the central part, with three researchers responsible. The model with distribution was used to determine the variance, which was defined as the attack time. Normal distribution with canonical link function. These models were adjusted to the data disregarding censorship, in which through the half-normal plot and hypothesis tests, verified that the model with the normal inverse distribution with canonical link function, presented the best fit. Subsequently, the exponential, Weibull and log-normal models were adjusted for the data considering the censorship, which were evaluated by the likelihood ratio test, the log-normal model being more appropriate to the data.
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Modelo de regressão log-Weibull modificado e a nova distribuição Weibull modificada generalizada / Log-modified Weibull regression models and a new generalized modified Weibull distributionJalmar Manuel Farfán Carrasco 09 November 2007 (has links)
Neste trabalho propomos um modelo de regress~ao utilizando a distribuição Weibull modificado, esta distribuição pode ser usada para modelar dados de sobrevivência quando a de função de risco tem forma de U ou banheira. Assumindo dados censurados, é considerado os estimadores de máxima verossimilhança e Jackknife para os parâmetros do modelo proposto. Foram derivadas as matrizes apropriadas para avaliar influiência local sobre os parâmetros estimados considerando diferentes peturbações e também é apresen- tada alguma medidas de influência global. Para diferentes parâmetros fixados, tamanhos de amostra e porcentagem de censuras, varia simulações foram feitas para avaliar a distribuição empírica do resíduo deviance modificado e comparado coma distribuição normal padrão. Esses estudos sugerem que a distribuição empírica do resíduo devianve modificado para o modelo de regressão log-Weibull modificado com dados censurados aproxima-se de uma dis- tribuição normal padrão. Finalmente analisamos um conjunto de dados utilizando o modelo de regressão log-Weibull modificado. Uma nova distribuição de quatro parâmetros é definida para modelar dados de tempo de vida. Algumas propriedades da distribuição é discutida, assim como ilustramos com exemplos a aplicação dessa nova distribuição. Palavras-chaves: Modelo de regressão; Distribuição Weibull modificada; Distribuição weibull modificada generalizada; Análise de sensibilidade; Dados censurados; Análise de resíduo / In this paperwork are proposed a regression model considering the modified Weibull distribution. This distribution can be used to model bathtub-shaped failure rate functions. Assuming censored data, we consider a classic and Jackknife estimator for the parameters of the model. We derive the appropriate matrices for assessing local influence on the parameter estimates under diferent perturbation schemes and we also present some ways to perform global influence. Besides, for diferent parameter settings, sample sizes and censoring percentages, various simulations are performed and the empirical distribution of the deviance modified residual is displayed and compared with the standard normal distribution. These studies suggest that the residual analysis usually performed in normal linear regression models can be straightforwardly extend for a martingale-type residual in log-modifiedWeibull regression models with censored data. Finally, we analyze a real data set under log-modified Weibull regression models. A diagnostic analysis and a model checking based on the deviance modified residual are performed to select an appropriate model. A new four-parameter distribution is introduced. Various properties the new distribution are discussed. Illustrative examples based on real data are also given.
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Uma modelagem estatística aplicada ao controle biológico da praga que ataca a cultura do algodão / An statistical model applied to the biological control of the pest that attacks the cotton cropAbraão de Paula Taveira 02 October 2017 (has links)
As distribuições de probabilidade gama, normal inversa, Weibull, log-normal e exponencial são uma boa alternativa para modelar observações associadas ao tempo, pois, em geral, a variável tempo possui assimetria à esquerda ou à direita, o que caracteriza as distribuições citadas anteriormente. O objetivo deste trabalho constitui-se em avaliar o comportamento dos predadores, Euborellia annulipes (\"Tesourinha\") e Harmonia axyridis (\"Joaninha\"), em relação à praga conhecida como Aphis gossypii (\"Pulgão\"). Outra pretensão deste trabalho é a aplicação da modelagem estatística, dando ênfase as técnicas dos modelos lineares generalizados e análise de sobrevivência, as quais foram aplicadas aos dados provenientes de um experimento, instalado no Laboratório de Ecologia de Insetos da Escola Superior de Agricultura \"Luiz de Queiroz\" (ESALQ). O experimento foi composto por 21 repetições, sendo cada repetição efetuada por meio de uma placa de Petri medido 60 X 15 mm. Em cada placa foi liberado um pulgão adulto áptero na parte central, tendo três pesquisadores responsáveis por observar a varável definida como tempo de ataque. Inicialmente, foram ajustados os modelos com distribuição gama e diferentes funções de ligação, e o modelo com a distribuição normal inversa com função de ligação canônica. Esses modelos foram ajustados aos dados desconsiderando as censuras, em que por meio do gráfico half-normal plot e testes de hipóteses, verificou que o modelo com a distribuição normal inversa com função de ligação canônica, apresentou o melhor ajuste. Posteriormente, foram ajustados os modelos exponencial, Weibull e log-normal para os dados considerando as censuras, os quais foram avaliados mediante o teste de razão de verossimilhança, sendo o modelo log-normal mais apropriado aos dados. / The probability density function of gamma, inverse normal, Weibull, log-normal and exponential distributions are good alternatives for modelling observations related with time, since, in general, the time variable has left or right asymmetry, which characterizes the distributions previously mentioned . The aim of this work is the application of statistical modeling, emphasizing the techniques of generalized linear models and survival analysis, which were applied to data from an experiment, installed in the Laboratory of Insect Ecology of the \"Luiz de Queiroz\" College of Agriculture (ESALQ), in which the goal of this experiment was to evaluate the behavior of predators, Euborellia annulipes (\"ring-legged earwig\") and Harmonia axyridis (\"Ladybird\"), in relation to the pest known as Aphis. The experiment was composed of 21 replicates, each replicate being done by means of a petri dish measured 60 X 15 mm. On each plate an adult aphid was released in the central part, with three researchers responsible. The model with distribution was used to determine the variance, which was defined as the attack time. Normal distribution with canonical link function. These models were adjusted to the data disregarding censorship, in which through the half-normal plot and hypothesis tests, verified that the model with the normal inverse distribution with canonical link function, presented the best fit. Subsequently, the exponential, Weibull and log-normal models were adjusted for the data considering the censorship, which were evaluated by the likelihood ratio test, the log-normal model being more appropriate to the data.
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Staff Shortage on SJ Trains / Personalbrist på SJs tågÖberg, Casper, Moro, Nora January 2023 (has links)
This thesis is a case study in collaboration with SJ AB, a government owned railway companyin Sweden. The employees aboard the trains are an essential part of operating thetrains efficiently. Therefore, it is vital to forecast absences well in order to avoid havingto cancel train trips or having employees work over time. The current process SJ usesdivides the total amount of absences into 11 categories representing reasons for not beingpresent. This is done three months in advance, but the model is not based on mathematics.This study is going to examine how well the forecasts compare to reality in addition toinvestigating which variables are possible to estimate using regression analysis. Furthermore,the extent to which the staff on board the trains are affected will be investigatedin terms of having to work less overtime. The financial impact of an enhanced model willbe researched. “Free” days, Vacation and Sickness all have significant regressors and canpotentially be forecast using regression analysis. Future work includes finding more potentialregressor variables that could be significant for more response variables in addition tousing the results of this thesis in an actual estimation model for the total absence. / Denna avhandling ärr en fallstudie i samarbete med SJ AB, ett statligt ägt järnvägsföretagi Sverige. Anställda ombord på tågen utgör en väsentlig del av att driva tågverksamheteneffektivt. Det är därför viktigt att kunna prognostisera frånvaro väl för att undvika attställa in rutter eller tvinga de anställda ombord tåget att arbeta övertid. Den nuvarandeprocessen som SJ använder delar upp den totala mängden frånvaro i 11 kategorier somrepresenterar orsaker till att inte vara närvarande. Detta görs tre månader i förväg, menmodellen är inte baserad på matematik i dagsläget. Denna studie kommer att undersökahur väl prognoserna stämmer överens med verkligheten, samt undersöka vilka variabler somör möjliga att uppskatta med hjälp av regressionsanalys. Dessutom kommer omfattningenav hur personalen ombord på tågen påverkas att undersökas. Den ekonomiska påverkanav en förbättrad modell kommer att analyseras. Lediga dagar, semester och sjukfrånvarohar alla signifikanta beskrivande variabler och kan potentiellt prognostiseras med hjälp avregressionsanalys. Framtida arbete innefattar att hitta fler potentiella beskrivande variablersom kan vara signifikanta för fler beroende variabler, samt att använda resultatenfrån denna avhandling i en faktisk prognosmodell för total frånvaro.
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