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Data publikacji: 4 czerwca 2021
Data aktualizacji: 1 lutego 2022

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1

Xiao, Yan. "Evaluating Variance of the Model Credibility Index." Digital Archive @ GSU, 2007. http://digitalarchive.gsu.edu/math_theses/39.

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Model credibility index is defined to be a sample size under which the power of rejection equals 0.5. It applies goodness-of-fit testing thinking and uses a one-number summary statistic as an assessment tool in a false model world. The estimation of the model credibility index involves a bootstrap resampling technique. To assess the consistency of the estimator of model credibility index, we instead study the variance of the power achieved at a fixed sample size. An improved subsampling method is proposed to obtain an unbiased estimator of the variance of power. We present two examples to inte
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2

Prosser, Robert James. "Robustness of multivariate mixed model ANOVA." Thesis, University of British Columbia, 1985. http://hdl.handle.net/2429/25511.

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In experimental or quasi-experimental studies in which a repeated measures design is used, it is common to obtain scores on several dependent variables on each measurement occasion. Multivariate mixed model (MMM) analysis of variance (Thomas, 1983) is a recently developed alternative to the MANOVA procedure (Bock, 1975; Timm, 1980) for testing multivariate hypotheses concerning effects of a repeated factor (called occasions in this study) and interaction between repeated and non-repeated factors (termed group-by-occasion interaction here). If a condition derived by Thomas (1983), multivariate
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3

Moravec, Radek. "Oceňování opcí a variance gama proces." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-18707.

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The submitted work deals with option pricing. Mathematical approach is immediately followed by an economic interpretation. The main problem is to model the underlying uncertainities driving the stock price. Using two well-known valuation models, binomial model and Black-Scholes model, we explain basic principles, especially risk neutral pricing. Due to the empirical biases new models have been developped, based on pure jump process. Variance gamma process and its special symmetric case are presented.
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4

Abdumuminov, Shuhrat, and David Emanuel Esteky. "Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-32427.

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This paper consolidates and compares the applicability and practicality of Black-Litterman model versus traditional Markowitz Mean-Variance model. Although well-known model such as Mean-Variance is academically sound and popular, it is rarely used among asset managers due to its deficiencies. To put the discussion into context we shed light on the improvement made by Fisher Black and Robert Litterman by putting the performance and practicality of both Black- Litterman and Markowitz Mean-Variance models into test. We will illustrate detailed mathematical derivations of how the models are constr
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5

Tjärnström, Fredrik. "Variance expressions and model reduction in system identification /." Linköping : Univ, 2002. http://www.bibl.liu.se/liupubl/disp/disp2002/tek730s.pdf.

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6

Finlay, Richard. "The Variance Gamma (VG) Model with Long Range Dependence." University of Sydney, 2009. http://hdl.handle.net/2123/5434.

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Doctor of Philosophy (PhD)<br>This thesis mainly builds on the Variance Gamma (VG) model for financial assets over time of Madan & Seneta (1990) and Madan, Carr & Chang (1998), although the model based on the t distribution championed in Heyde & Leonenko (2005) is also given attention. The primary contribution of the thesis is the development of VG models, and the extension of t models, which accommodate a dependence structure in asset price returns. In particular it has become increasingly clear that while returns (log price increments) of historical financial asset time series appear as a re
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7

Robinson, Timothy J. "Dual Model Robust Regression." Diss., Virginia Tech, 1997. http://hdl.handle.net/10919/11244.

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In typical normal theory regression, the assumption of homogeneity of variances is often not appropriate. Instead of treating the variances as a nuisance and transforming away the heterogeneity, the structure of the variances may be of interest and it is desirable to model the variances. Aitkin (1987) proposes a parametric dual model in which a log linear dependence of the variances on a set of explanatory variables is assumed. Aitkin's parametric approach is an iterative one providing estimates for the parameters in the mean and variance models through joint maximum likelihood. Est
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8

Roh, Kyoungmin. "Evolutionary variance of gene network model via simulated annealing." [Ames, Iowa : Iowa State University], 2008.

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9

Letsoalo, Marothi Peter. "Assessing variance components of multilevel models pregnancy data." Thesis, University of Limpopo, 2019. http://hdl.handle.net/10386/2873.

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Thesis (M. Sc. (Statistics)<br>Most social and health science data are longitudinal and additionally multilevel in nature, which means that response data are grouped by attributes of some cluster. Ignoring the differences and similarities generated by these clusters results to misleading estimates, hence motivating for a need to assess variance components (VCs) using multilevel models (MLMs) or generalised linear mixed models (GLMMs). This study has explored and fitted teenage pregnancy census data that were gathered from 2011 to 2015 by the Africa Centre at Kwa-Zulu Natal, South Africa. The exp
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10

Brien, Christopher J. "Factorial linear model analysis." Title page, table of contents and summary only, 1992. http://thesis.library.adelaide.edu.au/public/adt-SUA20010530.175833.

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"February 1992" Bibliography: leaf 323-344. Electronic publication; Full text available in PDF format; abstract in HTML format. Develops a general strategy for factorial linear model analysis for experimental and observational studies, an iterative, four-stage, model comparison procedure. The approach is applicable to studies characterized as being structure-balanced, multitiered and based on Tjur structures unless the structure involves variation factors when it must be a regular Tjur structure. It covers a wide range of experiments including multiple-error, change-over, two-phase, superimpos
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11

Caples, Jerry Joseph. "Variance reduction and variable selection methods for Alho's logistic capture recapture model with applications to census data /." Full text (PDF) from UMI/Dissertation Abstracts International, 2000. http://wwwlib.umi.com/cr/utexas/fullcit?p9992762.

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12

Gumedze, Freedom Nkhululeko. "A variance shilf model for outlier detection and estimation in linear and linear mixed models." Doctoral thesis, University of Cape Town, 2008. http://hdl.handle.net/11427/4381.

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Includes abstract.<br>Includes bibliographical references.<br>Outliers are data observations that fall outside the usual conditional ranges of the response data.They are common in experimental research data, for example, due to transcription errors or faulty experimental equipment. Often outliers are quickly identified and addressed, that is, corrected, removed from the data, or retained for subsequent analysis. However, in many cases they are completely anomalous and it is unclear how to treat them. Case deletion techniques are established methods in detecting outliers in linear fixed effects
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13

Gumedze, Freedom Nkhululeko. "A variance shift model for outlier detection and estimation in linear and linear mixed models." Doctoral thesis, University of Cape Town, 2009. http://hdl.handle.net/11427/4380.

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Outliers are data observations that fall outside the usual conditional ranges of the response data.They are common in experimental research data, for example, due to transcription errors or faulty experimental equipment. Often outliers are quickly identified and addressed, that is, corrected, removed from the data, or retained for subsequent analysis. However, in many cases they are completely anomalous and it is unclear how to treat them. Case deletion techniques are established methods in detecting outliers in linear fixed effects analysis. The extension of these methods to detecting outlier
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14

Talbert, Matthew Brandon. "A column based variance analysis approach to static reservoir model upgridding." Texas A&M University, 2008. http://hdl.handle.net/1969.1/86055.

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The development of coarsened reservoir simulation models from high resolution geologic models is a critical step in a simulation study. The optimal coarsening sequence becomes particularly challenging in a fluvial channel environment where the channel sinuosity and orientation can result in pay/non-pay juxtaposition in many regions of the geologic model. The optimal coarsening sequence is also challenging in tight gas sandstones where sharp changes between sandstone and shale beds are predominant and maintaining the pay/non-pay distinction is difficult. Under such conditions, a uniform coarsen
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15

Lin, Hui-Ling. "Jackknife Empirical Likelihood for the Variance in the Linear Regression Model." Digital Archive @ GSU, 2013. http://digitalarchive.gsu.edu/math_theses/129.

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The variance is the measure of spread from the center. Therefore, how to accurately estimate variance has always been an important topic in recent years. In this paper, we consider a linear regression model which is the most popular model in practice. We use jackknife empirical likelihood method to obtain the interval estimate of variance in the regression model. The proposed jackknife empirical likelihood ratio converges to the standard chi-squared distribution. The simulation study is carried out to compare the jackknife empirical likelihood method and standard method in terms of coverage pr
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16

Rwexana, Kwaku. "Pricing a Bermudan option under the constant elasticity of variance model." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/27374.

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This dissertation investigates the computational efficiency and accuracy of three methodologies in the pricing of a Bermudan option, under the constant elasticity of variance (CEV) model. The pricing methods considered are the finite difference method, least squares Monte Carlo method and recursive marginal quantization (RMQ) method. Specific emphasis will be on RMQ, as it is the most recent method. A plain vanilla European option is initially priced using the above mentioned methods, and the results obtained are compared to the Black-Scholes option pricing formula to determine their viability
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17

Febrer, Pedro Maria Ulisses dos Santos Jalhay. "Residue sum formula for pricing options under the variance Gamma Model." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20802.

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Mestrado em Mathematical Finance<br>O resultado principal desta dissertação é a demonstração da fórmula de serie de soma tripla para o preço de uma opção Europeia induzido por um processo Variance Gamma. Com esta intenção, apresentamos certas propriedades e noções sobre processos de Lévy e análise complexa multidimensional, dando ênfase à aplicação do cálculo de resíduos ao integral Mellin-Barnes. Subsequentemente, iremos construir a representação na forma do integral Mellin-Barnes, em C^3, para o preço de uma opção e, apoiados pelo anteriormente mencionado cálculo de resíduos, deduziremos a r
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18

Al, Hajri Abdullah Said Mechanical &amp Manufacturing Engineering Faculty of Engineering UNSW. "Logistics technology transfer model." Publisher:University of New South Wales. Mechanical & Manufacturing Engineering, 2008. http://handle.unsw.edu.au/1959.4/41469.

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A consecutive number of studies on the adoption trend of logistics technology since 1988 revealed that logistics organizations are not in the frontier when it comes to adopting new technology and this delayed adoption creates an information gap. In the advent of supply chain management and the strategic position of logistics, the need for accurate and timely information to accompany the logistics executives became more important than ever before. Given the integrative nature of logistics technology, failure to implement the technology successfully could result in writing off major investments
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19

Lee, Brendan Chee-Seng Banking &amp Finance Australian School of Business UNSW. "Incorporating discontinuities in value-at-risk via the poisson jump diffusion model and variance gamma model." Awarded by:University of New South Wales, 2007. http://handle.unsw.edu.au/1959.4/37201.

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We utilise several asset pricing models that allow for discontinuities in the returns and volatility time series in order to obtain estimates of Value-at-Risk (VaR). The first class of model that we use mixes a continuous diffusion process with discrete jumps at random points in time (Poisson Jump Diffusion Model). We also apply a purely discontinuous model that does not contain any continuous component at all in the underlying distribution (Variance Gamma Model). These models have been shown to have some success in capturing certain characteristics of return distributions, a few being leptoku
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20

Chauvet, Pierre. "Elements d'analyse structurale des fai-k a 1 dimension." Paris, ENMP, 1987. http://www.theses.fr/1987ENMP0070.

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L'information structurale d'une fai d'ordre k definie sur une maille reguliere monodimensionnelle est contenue dans ses accroissements d'ordre k+1. On cherche a etablir la relation entre les covariances d'accroissements (experiences) et la covariance generalisee (modele) et a l'utiliser dans les deux sens. Une tentative d'expliciter la covariance generalisee a l'aide du variogramme generalise s'est soldee par un echec
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21

Petkovic, Danijela. "Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2197.

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<p>In this paper we investigate pricing of variance swaps contracts. The</p><p>literature is mostly dedicated to the pricing using replication with</p><p>portfolio of vanilla options. In some papers the valuation with stochastic</p><p>volatility models is discussed as well. Stochastic volatility is becoming</p><p>more and more interesting to the investors. Therefore we decided to</p><p>perform valuation with the Heston stochastic volatility model, as well</p><p>as by using replication strategy.</p><p>The thesis was done at SunGard Front Arena, so for testing the replica-</p><p>tion strategy Fr
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22

Cheng, Enoch. "Connections between no-arbitrage and the continuous time mean-variance framework." Diss., Restricted to subscribing institutions, 2009. http://proquest.umi.com/pqdweb?did=1836268281&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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23

Newton, Wesley E. "Data Analysis Using Experimental Design Model Factorial Analysis of Variance/Covariance (DMAOVC.BAS)." DigitalCommons@USU, 1985. https://digitalcommons.usu.edu/etd/6378.

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DMAOVC.BAS is a computer program written in the compiler version of microsoft basic which performs factorial analysis of variance/covariance with expected mean squares. The program accommodates factorial and other hierarchical experimental designs with balanced sets of data. The program is writ ten for use on most modest sized microprocessors, in which the compiler is available. The program is parameter file driven where the parameter file consists of the response variable structure, the experimental design model expressed in a similar structure as seen in most textbooks, information concernin
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24

Randell, David. "Bayes linear variance learning for mixed linear temporal models." Thesis, Durham University, 2012. http://etheses.dur.ac.uk/3646/.

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Modelling of complex corroding industrial systems is ritical to effective inspection and maintenance for ssurance of system integrity. Wall thickness and corrosion rate are modelled for multiple dependent corroding omponents, given observations of minimum wall thickness per component. At each inspection, partial observations of the system are considered. A Bayes Linear approach is adopted simplifying parameter estimation and avoiding often unrealistic distributional assumptions. Key system variances are modelled, making exchangeability assumptions to facilitate analysis for sparse inspection t
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25

Lahti, Katharine Gage. "Estimation of Variance Components in Finite Polygenic Models and Complex Pedigrees." Thesis, Virginia Tech, 1998. http://hdl.handle.net/10919/46496.

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Various models of the genetic architecture of quantitative traits have been considered to provide the basis for increased genetic progress. The finite polygenic model (FPM), which contains a finite number of unlinked polygenic loci, is proposed as an improvement to the infinitesimal model (IM) for estimating both additive and dominance variance for a wide range of genetic models. Analysis under an additive five-loci FPM by either a deterministic Maximum Likelihood (DML) or a Markov chain Monte Carlo (MCMC) Bayesian method (BGS) produced accurate estimates of narrow-sense heritability (0.48
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26

Ahmed, Yasir. "A Model-Based Approach to Demodulation of Co-Channel MSK Signals." Thesis, Virginia Tech, 2002. http://hdl.handle.net/10919/36265.

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Co-channel interference limits the capacity of cellular systems, reduces the throughput of wireless local area networks, and is the major hurdle in deployment of high altitude communication platforms. It is also a problem for systems operating in unlicensed bands such as the 2.4 GHz ISM band and for narrowband systems that have been overlaid with spread spectrum systems. In this work we have developed model-based techniques for the demodulation of co-channel MSK signals. It is shown that MSK signals can be written in the linear model form, hence a minimum variance unbiased (MVU) estimator exi
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27

Chen, Jinsong. "Variance analysis for kernel smoothing of a varying-coefficient model with longitudinal data /." Electronic version (PDF), 2003. http://dl.uncw.edu/etd/2003/chenj/jinsongchen.pdf.

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28

VELLOSO, MARIA LUIZA FERNANDES. "TIME SERIES MODEL WITH NEURAL COEFFICIENTS FOR NONLINEAR PROCESSES IN MEAN AND VARIANCE." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 1999. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8103@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>Esta tese apresenta uma nova classe de modelos não lineares inspirada no modelo ARN, apresentado por Mellem, 1997. Os modelos definidos nesta classe são aditivos com coeficientes variáveis modelados por redes neurais e, tanto a média quanto a variância condicionais, são modeladas explicitamente. Neste trabalho podem ser identificadas quatro partes principais: um estudo sobre os modelos mais comuns encontrados na literatura de séries temporais; um estudo sobre redes neurais, focalizando a rede backpropagation; a definição
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29

Jung, Jeesun. "High resolution linkage and association study of quantitative trait loci." Texas A&M University, 2004. http://hdl.handle.net/1969.1/2681.

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As a large number of single nucleotide polymorphisms (SNPs) and microsatellite markers are available, high resolution mapping employing multiple markers or multiple allele markers is an important step to identify quantitative trait locus (QTL) of complex human disease. For many complex diseases, quantitative phenotype values contain more information than dichotomous traits do. Much research has been done on conducting high resolution mapping using information of linkage and linkage disequilibrium. The most commonly employed approaches for mapping QTL are pedigree-based linkage analysis and pop
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30

Yue, Rong-xian. "Applications of quasi-Monte Carlo methods in model-robust response surface designs." HKBU Institutional Repository, 1997. http://repository.hkbu.edu.hk/etd_ra/178.

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31

Schemann, Vera, Bjorn Stevens, Verena Grützun, and Johannes Quaas. "Scale dependency of total water variance and its implication for cloud parameterizations: Scale dependency of total water variance and its implication for cloudparameterizations." American Meteorological Society, 2013. https://ul.qucosa.de/id/qucosa%3A13462.

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The scale dependency of variance of total water mixing ratio is explored by analyzing data from a general circulation model (GCM), a numerical weather prediction model (NWP), and large-eddy simulations (LESs). For clarification, direct numerical simulation (DNS) data are additionally included, but the focus is placed on defining a general scaling behavior for scales ranging from global down to cloud resolving. For this, appropriate power-law exponents are determined by calculating and approximating the power density spectrum. The large-scale models (GCM and NWP) show a consistent scaling with
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32

Lee, Mou Chin. "An empirical test of variance gamma options pricing model on Hang Seng index options." HKBU Institutional Repository, 2000. http://repository.hkbu.edu.hk/etd_ra/263.

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33

Hartman, Joel, and Osvald Wiklander. "Evaluating forecasts from the GARCH(1,1)-model for Swedish Equities." Thesis, Uppsala universitet, Statistiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-178120.

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34

Juutilainen, I. (Ilmari). "Modelling of conditional variance and uncertainty using industrial process data." Doctoral thesis, University of Oulu, 2006. http://urn.fi/urn:isbn:9514282620.

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Abstract This thesis presents methods for modelling conditional variance and uncertainty of prediction at a query point on the basis of industrial process data. The introductory part of the thesis provides an extensive background of the examined methods and a summary of the results. The results are presented in detail in the original papers. The application presented in the thesis is modelling of the mean and variance of the mechanical properties of steel plates. Both the mean and variance of the mechanical properties depend on many process variables. A method for predicting the probability o
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35

Schemann, Vera, Bjorn Stevens, Verena Grützun, and Johannes Quaas. "Scale dependency of total water variance and its implication for cloud parameterizations." Universitätsbibliothek Leipzig, 2015. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-177479.

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The scale dependency of variance of total water mixing ratio is explored by analyzing data from a general circulation model (GCM), a numerical weather prediction model (NWP), and large-eddy simulations (LESs). For clarification, direct numerical simulation (DNS) data are additionally included, but the focus is placed on defining a general scaling behavior for scales ranging from global down to cloud resolving. For this, appropriate power-law exponents are determined by calculating and approximating the power density spectrum. The large-scale models (GCM and NWP) show a consistent scaling with
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36

Wang, Ze. "Estimating reliability under a generalizability theory model for writing scores in C-base." Diss., Columbia, Mo. : University of Missouri-Columbia, 2005. http://hdl.handle.net/10355/4292.

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Thesis (M.S.)--University of Missouri-Columbia, 2005.<br>The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file viewed on (January 10, 2007) Includes bibliographical references.
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37

Hirani, Shyam, and Jonas Wallström. "The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework." Thesis, Linköpings universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-111570.

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Within the scope of this thesis, the Black-Litterman Asset Allocation Model (as presented in He &amp; Litterman, 1999) is compared to the classical mean-variance framework by simulating past performance of portfolios constructed by both models using identical input data. A quantitative investment strategy which favours stocks with high dividend yield rates is used to generate private views about the expected excess returns for a fraction of the stocks included in the sample. By comparing the ex-post risk-return characteristics of the portfolios and performing ample sensitivity analysis with re
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38

Griffiths, Kristi L. "Model selection and analysis tools in response surface modeling of the process mean and variance." Diss., Virginia Tech, 1995. http://hdl.handle.net/10919/38567.

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Product improvement is a serious issue facing industry today. And while response surface methods have been developed which address the process mean involved in improving the product there has been little research done on the process variability. Lack of quality in a product can be attributed to its inconsistency in performance thereby highlighting the need for a methodology which addresses process variability. The key to working with the process variability comes in the handling of the two types of factors which make up the product design: control and noise factors. Control factors can be fixe
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39

Hongcheng, Li. "Multivariate Extensions of CUSUM Procedure." Kent State University / OhioLINK, 2007. http://rave.ohiolink.edu/etdc/view?acc_num=kent1185558637.

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40

Ozol-Godfrey, Ayca. "Understanding Scaled Prediction Variance Using Graphical Methods for Model Robustness, Measurement Error and Generalized Linear Models for Response Surface Designs." Diss., Virginia Tech, 2004. http://hdl.handle.net/10919/30185.

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Graphical summaries are becoming important tools for evaluating designs. The need to compare designs in term of their prediction variance properties advanced this development. A recent graphical tool, the Fraction of Design Space plot, is useful to calculate the fraction of the design space where the scaled prediction variance (SPV) is less than or equal to a given value. In this dissertation we adapt FDS plots, to study three specific design problems: robustness to model assumptions, robustness to measurement error and design properties for generalized linear models (GLM). This dissertation p
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41

Shen, Xia. "Novel Statistical Methods in Quantitative Genetics : Modeling Genetic Variance for Quantitative Trait Loci Mapping and Genomic Evaluation." Doctoral thesis, Uppsala universitet, Beräknings- och systembiologi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-170091.

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This thesis develops and evaluates statistical methods for different types of genetic analyses, including quantitative trait loci (QTL) analysis, genome-wide association study (GWAS), and genomic evaluation. The main contribution of the thesis is to provide novel insights in modeling genetic variance, especially via random effects models. In variance component QTL analysis, a full likelihood model accounting for uncertainty in the identity-by-descent (IBD) matrix was developed. It was found to be able to correctly adjust the bias in genetic variance component estimation and gain power in QTL m
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42

Pasos, Jose E. "Mean-variance optimal portfolios for Lévy processes and a singular stochastic control model for capacity expansion." Thesis, London School of Economics and Political Science (University of London), 2018. http://etheses.lse.ac.uk/3771/.

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In the first part of the thesis, the problem of determining the optimal capacity expansion strategy for a firm operating within a random economic environment is studied. The underlying market uncertainty is modelled by means of a general one-dimensional positive diffusion with possible absorption at 0. The objective is to maximise a performance criterion that involves a general running payoff function and associates a cost with each capacity increase up to the first hitting time of 0, at which time the firm defaults. The resulting optimisation problem takes the form of a degenerate twodimensio
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Kitthamkersorn, Songyot. "Modeling Overlapping and Heterogeneous Perception Variance in Stochastic User Equilibrium Problem with Weibit Route Choice Model." DigitalCommons@USU, 2013. https://digitalcommons.usu.edu/etd/1970.

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In this study, a new SUE model using the Weibull random error terms is proposed as an alternative to overcome the drawbacks of the multinomial logit (MNL) SUE model. A path-size weibit (PSW) model is developed to relax both independently and identically distributed assumptions, while retaining an analytical closed-form solution. Specifically, this route choice model handles route overlapping through the path-size factor and captures the route-specific perception variance through the Weibull distributed random error terms. Both constrained entropy-type and unconstrained equivalent MP formulatio
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Matoti, Lundi. "Building a statistical linear factor model and a global minimum variance portfolio using estimated covariance matrices." Master's thesis, University of Cape Town, 2009. http://hdl.handle.net/11427/4909.

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Chen, Yu-Chen, and 陳佑賑. "A Passive Portfolio Model- Mean Variance and Semi-variance." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/33375689823555964298.

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碩士<br>靜宜大學<br>資訊碩士在職專班<br>102<br>Since researches have indicated that actively managed portfolios fail to beat the market, index investing, such as index funds and ETFs, which aim to track the market performance, and require few efforts on stock-picking and market-timing is more and more popular among the investors. Index investing, which aims to track the benchmark index return, has been one of the most popular financial tools and the research topics among the academic and the practitioners. However, there have been few studies on the constructing an effective index portfolio. The problems fo
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Shu-hui, Wu, and 吳淑惠. "Inference of Genetic Variance of QTL via Variance-Component Model." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/52712860660694582981.

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碩士<br>國立臺灣大學<br>流行病學研究所<br>90<br>The variance-component model is considered in this thesis for the quantitative trait. Specifically, the model is comprised of a polymorphic single major gene, polygenic effect, and random environmental effect. It is worth noticing that the asymptotic distribution of MLE may not follow the standard normality assumptions, and the estimate itself sometimes falls in the negative region. In contrast to the conventional maximum likelihood estimation, the Bayesian approach is used for statistical analysis. The inference based on the posterior distribution and post
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"Variance function estimation in nonparametric regression model." UNIVERSITY OF PENNSYLVANIA, 2009. http://pqdtopen.proquest.com/#viewpdf?dispub=3328698.

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Huang, Yun-Ru, and 黃韻如. "A Study of Performance Variances of Taiwanese Firms in Mainland China: Using Variance Component Analysis, Hierarchical Linear Model, and Analysis of Variance Method." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/d8x7kp.

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碩士<br>國立臺灣科技大學<br>企業管理系<br>105<br>Based on Industry Organization Theory, Resource-View of Firm and Institutional Theory as our theoretical background, the purpose of this paper is to applied Variance Component Analysis (VCA), Hierarchical Linear Model (HLM), and Analysis of Variance Method (ANOVA) to identify the source of performance variances among Taiwanese firm in Mainland China. Under all performance variables (including ROS, ROA, and ROE), firm effects were found to explain 13.93 to 47.69 percent of variances among Taiwan firms performance in Mainland China. Industry effects accounted fo
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Lee, Hsin-I., and 李欣怡. "Conformance Proportions in a Normal Variance Components Model." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/83974003574935133756.

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博士<br>國立臺灣大學<br>農藝學研究所<br>100<br>Conformance proportion is defined as the proportion of a performance characteristic of interest that falls within a prespecified acceptance region. It can be used not only in manufacture industry but also in agricultural management or environmental monitoring. For instance, determining best harvest timing for forage maize under an appropriate range of dry matter content, monitoring the sweetness of fruits to be above a lower limit, or requiring the concentration of a toxin to be below an upper limit in pesticide residue tests. It is of desire to estimate the pr
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賴珮萱. "Model-implied Jump Variance and Expected Market Return." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/xdvxre.

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碩士<br>東吳大學<br>財務工程與精算數學系<br>106<br>This study uses S&P 500 index returns from January 1996 to December 2016. The asset price process follows GARCH-Jump model and the jump component is pretended to be normal inverse Gaussian (NIG) distribution. We make use of the particle filter method to estimate the parameters of our model and then calculate the model-implied total variance (MTV), model-implied normal variance (MNV), and model-implied jump variance (MJV), respectively. We find that there is positive significantly prediction from four months to twelve months with MTV only, and MNV only, respec
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