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Author:

Zhang, Lu

Title:

BAYESIAN ANALYSIS OF MULTIVARIATE REGIME SWITCHING COVARIANCE MODEL

Graduate Program:

Statistics

Keywords:

dynamic covariance
state space model
Markov Chain Monte Carlo (MCMC)
bayesian analysis
stochastic volatility
time series analysis

File:

Download Lu-Dissertation.pdf

Committee Members:

John Liechty, Committee Chair/Co-Chair
Runze Li, Committee Member
Murali Haran, Committee Member
Timothy Simin, Committee Member
James Landis Rosenberger, Committee Member

Author:

Dong, Yuexiao

Title:

Dimension Reduction for Non-elliptically Distributed Predictors

Graduate Program:

Statistics

Keywords:

central space
dimension reduction
solution space
non-ellipticity

File:

Download dong_phd.pdf

Committee Members:

Bing Li, Committee Chair/Co-Chair
Michael G. Akritas, Committee Member
Runze Li, Committee Member
Dennis K. J. Lin, Committee Member

Author:

Taoufik, Bahaeddine

Title:

FUNCTIONAL DATA BASED INFERENCE FOR HIGH FREQUENCY FINANCIAL DATA

Graduate Program:

Statistics

Keywords:

Functional Data
Nonlinear Functional Regression
Cross-section of returns
Cumulative intraday returns
Reproducing kernel Hilbert spaces

File:

Download Dissertation_B_Taoufik.pdf

Committee Members:

Matthew Logan Reimherr, Dissertation Advisor/Co-Advisor
Matthew Logan Reimherr, Committee Chair/Co-Chair
Runze Li, Committee Member
Zhibiao Zhao, Committee Member
John C Liechty, Outside Member

Author:

Xu, Zhanxiong

Title:

Efficient parameter estimation methods using quantile regression in heteroscedastic models

Graduate Program:

Statistics

Keywords:

quantile regression
heteroscedastic models
optimal weighting
composite quantile regression

File:

Download Final_Dissertation.pdf

Committee Members:

Zhibiao Zhao, Dissertation Advisor/Co-Advisor
Zhibiao Zhao, Committee Chair/Co-Chair
Runze Li, Committee Member
Lingzhou Xue, Committee Member
Tao Yao, Outside Member

Author:

Lee, Kevin Haeseung

Title:

Statistical Learning of Complex Large-Scale Dynamic Systems

Graduate Program:

Statistics

Keywords:

Statistical learning
Model-based clustering
Dynamic networks
Graphical model
EM algorithm
Variational inference

File:

Download Kevin_Lee_Dissertation.pdf

Committee Members:

Lingzhou Xue, Dissertation Advisor/Co-Advisor
Lingzhou Xue, Committee Chair/Co-Chair
David R. Hunter, Committee Member
Runze Li, Committee Member
Nanyin Zhang, Outside Member
Mark S. Handcock, Special Member

Author:

Song, Jun

Title:

Dimension reduction for functional data

Graduate Program:

Statistics

Keywords:

dimension reduction
random operator
supervised machine learning
unsupervised machine learning
functional data analysis
handwriting data
speech recognition data
dimension reduction
random operator
supervised machine learning
unsupervised machine learning
functional data analysis
handwriting data
speech recognition data

File:

Download Thesis_Jun.pdf

Committee Members:

Bing Li, Dissertation Advisor/Co-Advisor
Bing Li, Committee Chair/Co-Chair
Naomi S. Altman, Committee Member
Runze Li, Committee Member
Christopher Parker, Outside Member
Matthew Reimherr, Committee Member

Author:

Chen, Dong

Title:

On some problems in Lagrangian Dynamics and Finsler Geometry

Graduate Program:

Mathematics

Keywords:

KAM theory
Finsler metric
duel lens map Hamiltonian flow
perturbation
metric entropy
duel lens map
Hamiltonian flow
perturbation
metric entropy

File:

Download Dong_Chen-Dissertation_V2.pdf

Committee Members:

Dmitri Yu Burago, Dissertation Advisor/Co-Advisor
Dmitri Yu Burago, Committee Chair/Co-Chair
Federico Juan Rodriguez Hertz, Committee Member
Mark Levi, Committee Member
Runze Li, Outside Member

Author:

Ye, Jingyi

Title:

New Statistical Procedures for Analysis of HIV Data and High Dimensional Data

Graduate Program:

Statistics

Keywords:

HIV
prevalence and incidence
incidence assay data
refitted cross-validation
high dimension data
varying coefficient model
varying error variance

File:

Download Jingyi_Ye-_final_dissertation.pdf

Committee Members:

Runze Li, Dissertation Advisor/Co-Advisor
Runze Li, Committee Chair/Co-Chair
Le Bao, Committee Member
Zhibiao Zhao, Committee Member
Lan Kong, Outside Member

Author:

Ni, Jun

Title:

THREE ESSAYS ON QUANTITATIVE FINANCE

Graduate Program:

Mathematics

Keywords:

VIX modeling
Bond premia prediction
Asset allocation

File:

Download Thesis.pdf

Committee Members:

Jingzhi Huang, Dissertation Advisor/Co-Advisor
Jingzhi Huang, Committee Chair/Co-Chair
Anna L Mazzucato, Committee Member
Xiantao Li, Committee Member
Runze Li, Outside Member

Author:

Wang, Chuan-Sheng

Title:

SEMIPARAMETRIC ESTIMATION AND INFERENCE FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL

Graduate Program:

Statistics

Keywords:

Bootstrap
Conditional expected shortfall
Conditional Value-at-Risk
Nonlinear time series
Quantile regression
Semiparametric methods

File:

Download Chuan-Sheng_s_Dissertation_-_Final.pdf

Committee Members:

Zhibiao Zhao, Dissertation Advisor/Co-Advisor
Zhibiao Zhao, Committee Chair/Co-Chair
Runze Li, Committee Member
Lingzhou Xue, Committee Member
Fuqing Zhang, Outside Member