Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 13 of 13 for “"Single-Index Model"”.
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On New Approaches for Variable Selection under Single Index Model and DNA Methylation Status Calling
… based variable selection method for the single index model and a novel classification based method for DNA methylation status calling for bisulphite-sequencing data.
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Aplikasi model indeks tunggal dan stochastic dominance dalam analisis portofolio optimal saham: Studi Pada Jakarta Islamic Indeks (JII) di Bursa Efek Indonesia (BEI) periode 2009 sampai 2012
… secara langsung stochastic dominance dan single index model untuk memecahkan masalah pemilihan portofolio. Adapun tujuan dari penelitian ini adalah untuk menganalisis portofolio optimal investasi saham di Bursa Efek Indonesia dengan menggunakan stochastic dominance dan single index model. …
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Portfolio constuction using robust weight functions
The Markowitz portfolio selection model has formed the foundation from which all the other portfolio selection models are formulated. The Sharpe Single Index and the Improved Sharpe Single Index models have been formulated in a bid to form better performing models. In the optimization algorithms, …
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Some Advanced Semiparametric Single-index Modeling for Spatially-Temporally Correlated Data
Semiparametric modeling is a hybrid of the parametric and nonparametric modelings where some function forms are known and others are unknown. In this dissertation, we have made several contributions to semiparametric modeling based on the single index model related to the following three topics: …
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Low volatility alternative equity indices
… The results show that the Low volatility Single Index Model (SIM) and the Equally Weight low-beta portfolio (Lowbeta) were the superior performers based on their Sharpe ratios.
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Bayesian Variable Selection and Inference for Nonparametric Kernel Machine and Functional Models
… the departure of nonlinearity using a functional single index model. This procedure employs a randomly projected empirical process to reduce dimensionality while preserving essential statistical properties. The method is applied to autism brain imaging data to test whether fMRI signals are related …
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Statistical Modeling of Longitudinal Medical Cost Data
… reality. So, for Aim 2, we developed a flexible model to address further challenges such as heteroscedasticity without imposing a cost data distributional assumption. In Aim 3, to conduct flexible and reliable inference on the estimated cost trajectory, we developed a longitudinal varying …
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Semiparametric mixture models
… parts that are related to semiparametric mixture models. In Part I, we construct the minimum profile Hellinger distance (MPHD) estimator for a class of semiparametric mixture models where one component has known distribution with possibly unknown parameters while the other component density and …
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Advances in Differentially Methylated Region Detection and Cure Survival Models
… of the dissertation pertains to mixture cure models in survival analysis. Mixture cure models are those based on a cured and uncured population. The choice of models for the cured and uncured is crucial in developing statistical models for this type of population. In this work, a flexible …
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Dynamic and robust estimation of risk and return in modern portfolio theory
… covariance in a regression framework using the index models. Sharpe makes a crucial assumption that the residuals from different assets are uncorrelated and that the beta estimates are constant. When the Sharpe model parameters are estimated using ordinary least squares, the regression …
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Semiparametric Methods for the Generalized Linear Model
The generalized linear model (GLM) is a popular model in many research areas. In the GLM, each outcome of the dependent variable is assumed to be generated from a particular distribution function in the exponential family. The mean of the distribution depends on the independent variables. The link …
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Frequentist-Bayesian Hybrid Tests in Semi-parametric and Non-parametric Models with Low/High-Dimensional Covariate
… test for a functional generalized partial linear single index model, which has link being functional of predictors through a generalized partially linear single index. We propose an efficient score based on estimating equation to the mathematical difficulty in likelihood derivation and construct …
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An Assessment of the Impact of Liquidity and Capital Regulatory Reforms on Retail Banks in the United Kingdom
… input-oriented Banker, Charnes, and Cooper (BCC) model under Variable Returns to Scale (VRS) and Malmquist Index estimations to account for changes over time. In the second stage, robust fixed effects panel regression analysis is employed to identify the drivers of efficiency, including total …