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Class of Mixed-Distribution Models with Applications in Financial Data Analysis

Title: A Class of Mixed-Distribution Models with Applications in Financial Data Analysis.
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Name(s): Tang, Anqi, author
Niu, Xufeng, professor directing dissertation
Cheng, Yingmei, university representative
Wu, Wei, committee member
Huffer, Fred, committee member
Department of Statistics, degree granting department
Florida State University, degree granting institution
Type of Resource: text
Genre: Text
Issuance: monographic
Date Issued: 2011
Publisher: Florida State University
Place of Publication: Tallahassee, Florida
Physical Form: computer
online resource
Extent: 1 online resource
Language(s): English
Abstract/Description: Statisticians often encounter data in the form of a combination of discrete and continuous outcomes. A special case is zero-inflated longitudinal data where the response variable has a large portion of zeros. These data exhibit correlation because observations are obtained on the same subjects over time. In this dissertation, we propose a two-part mixed distribution model to model zero-inflated longitudinal data. The first part of the model is a logistic regression model that models the probability of nonzero response; the other part is a linear model that models the mean response given that the outcomes are not zeros. Random effects with AR(1) covariance structure are introduced into both parts of the model to allow serial correlation and subject specific effect. Estimating the two-part model is challenging because of high dimensional integration necessary to obtain the maximum likelihood estimates. We propose a Monte Carlo EM algorithm for estimating the maximum likelihood estimates of parameters. Through simulation study, we demonstrate the good performance of the MCEM method in parameter and standard error estimation. To illustrate, we apply the two-part model with correlated random effects and the model with autoregressive random effects to executive compensation data to investigate potential determinants of CEO stock option grants.
Identifier: FSU_migr_etd-1710 (IID)
Submitted Note: A Dissertation Submitted to the Department of Statistics in Partial Fulfillment of the Requirements for the Degree of Doctor of Philosophy.
Degree Awarded: Spring Semester, 2011.
Date of Defense: March 16, 2011.
Keywords: MCEM Algorithm, Mixed-Distribution Models, CEO Compensation
Bibliography Note: Includes bibliographical references.
Advisory committee: Xufeng Niu, Professor Directing Dissertation; Yingmei Cheng, University Representative; Wei Wu, Committee Member; Fred Huffer, Committee Member.
Subject(s): Statistics
Probabilities
Persistent Link to This Record: http://purl.flvc.org/fsu/fd/FSU_migr_etd-1710
Owner Institution: FSU

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Tang, A. (2011). A Class of Mixed-Distribution Models with Applications in Financial Data Analysis. Retrieved from http://purl.flvc.org/fsu/fd/FSU_migr_etd-1710