Thèses sur le sujet « Bayes False discovery rate »
Créez une référence correcte selon les styles APA, MLA, Chicago, Harvard et plusieurs autres
Consultez les 47 meilleures thèses pour votre recherche sur le sujet « Bayes False discovery rate ».
À côté de chaque source dans la liste de références il y a un bouton « Ajouter à la bibliographie ». Cliquez sur ce bouton, et nous générerons automatiquement la référence bibliographique pour la source choisie selon votre style de citation préféré : APA, MLA, Harvard, Vancouver, Chicago, etc.
Vous pouvez aussi télécharger le texte intégral de la publication scolaire au format pdf et consulter son résumé en ligne lorsque ces informations sont inclues dans les métadonnées.
Parcourez les thèses sur diverses disciplines et organisez correctement votre bibliographie.
DI, BRISCO AGNESE MARIA. « Statistical Network Analysis : a Multiple Testing Approach ». Doctoral thesis, Università degli Studi di Milano-Bicocca, 2015. http://hdl.handle.net/10281/96090.
Texte intégralRahal, Abbas. « Bayesian Methods Under Unknown Prior Distributions with Applications to The Analysis of Gene Expression Data ». Thesis, Université d'Ottawa / University of Ottawa, 2021. http://hdl.handle.net/10393/42408.
Texte intégralLiu, Fang. « New Results on the False Discovery Rate ». Diss., Temple University Libraries, 2010. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/96718.
Texte intégralPh.D.
The false discovery rate (FDR) introduced by Benjamini and Hochberg (1995) is perhaps the most standard error controlling measure being used in a wide variety of applications involving multiple hypothesis testing. There are two approaches to control the FDR - the fixed error rate approach of Benjamini and Hochberg (BH, 1995) where a rejection region is determined with the FDR below a fixed level and the estimation based approach of Storey (2002) where the FDR is estimated for a fixed rejection region before it is controlled. In this proposal, we concentrate on both these approaches and propose new, improved versions of some FDR controlling procedures available in the literature. A number of adaptive procedures have been put forward in the literature, each attempting to improve the method of Benjamini and Hochberg (1995), the BH method, by incorporating into this method an estimate of number true null hypotheses. Among these, the method of Benjamini, Krieger and Yekutieli (2006), the BKY method, has been receiving lots of attention recently. In this proposal, a variant of the BKY method is proposed by considering a different estimate of number true null hypotheses, which often outperforms the BKY method in terms of the FDR control and power. Storey's (2002) estimation based approach to controlling the FDR has been developed from a class of conservatively biased point estimates of the FDR under a mixture model for the underlying p-values and a fixed rejection threshold for each null hypothesis. An alternative class of point estimates of the FDR with uniformly smaller conservative bias is proposed under the same setup. Numerical evidence is provided to show that the mean squared error (MSE) is also often smaller for this new class of estimates. Compared to Storey's (2002), the present class provides a more powerful estimation based approach to controlling the FDR.
Temple University--Theses
Miller, Ryan. « Marginal false discovery rate approaches to inference on penalized regression models ». Diss., University of Iowa, 2018. https://ir.uiowa.edu/etd/6474.
Texte intégralWong, Adrian Kwok-Hang. « False discovery rate controller for functional brain parcellation using resting-state fMRI ». Thesis, University of British Columbia, 2016. http://hdl.handle.net/2429/58332.
Texte intégralApplied Science, Faculty of
Graduate
Kubat, Jamie. « Comparing Dunnett's Test with the False Discovery Rate Method : A Simulation Study ». Thesis, North Dakota State University, 2013. https://hdl.handle.net/10365/27025.
Texte intégralGuo, Ruijuan. « Sample comparisons using microarrays -- application of false discovery rate and quadratic logistic regression ». Worcester, Mass. : Worcester Polytechnic Institute, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-010808-173747/.
Texte intégralGuo, Ruijuan. « Sample comparisons using microarrays : - Application of False Discovery Rate and quadratic logistic regression ». Digital WPI, 2008. https://digitalcommons.wpi.edu/etd-theses/28.
Texte intégralDalmasso, Cyril. « Estimation du positive False Discovery Rate dans le cadre d'études comparatives en génomique ». Paris 11, 2006. http://www.theses.fr/2006PA11T015.
Texte intégralLiley, Albert James. « Statistical co-analysis of high-dimensional association studies ». Thesis, University of Cambridge, 2017. https://www.repository.cam.ac.uk/handle/1810/270628.
Texte intégralBenditkis, Julia [Verfasser], Arnold [Akademischer Betreuer] Janssen et Helmut [Akademischer Betreuer] Finner. « Martingale Methods for Control of False Discovery Rate and Expected Number of False Rejections / Julia Benditkis. Gutachter : Arnold Janssen ; Helmut Finner ». Düsseldorf : Universitäts- und Landesbibliothek der Heinrich-Heine-Universität Düsseldorf, 2015. http://d-nb.info/1077295170/34.
Texte intégralIyer, Vishwanath. « An adaptive single-step FDR controlling procedure ». Diss., Temple University Libraries, 2010. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/75410.
Texte intégralPh.D.
This research is focused on identifying a single-step procedure that, upon adapting to the data through estimating the unknown parameters, would asymptotically control the False Discovery Rate when testing a large number of hypotheses simultaneously, and exploring some of the characteristics of this procedure.
Temple University--Theses
Gomez, Kayeromi Donoukounmahou. « A Comparison of False Discovery Rate Method and Dunnett's Test for a Large Number of Treatments ». Diss., North Dakota State University, 2015. http://hdl.handle.net/10365/24842.
Texte intégralALHARBI, YOUSEF S. « RECOVERING SPARSE DIFFERENCES BETWEEN TWO HIGH-DIMENSIONAL COVARIANCE MATRICES ». Kent State University / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=kent1500392318023941.
Texte intégralJesus, Marcelo de. « Falso positivo na performance dos fundos de investimento com gestão ativa no Brasil : mensurando sorte dos gestores nos alfas estimados ». Universidade Presbiteriana Mackenzie, 2011. http://tede.mackenzie.br/jspui/handle/tede/770.
Texte intégralThis study investigates, for the period between 2002 and 2009, what is the impact of luck on the performance of stocks mutual funds managers with active management in Brazil to surpass its benchmark. To that purpose, we used a new method, the False Discovery Rate approach - FDR to empirically test those impact. To measure precisely luck and unluck, ig, the frequency of false positives (Type I errors) in the tails of the cross-section of the tdistribution associated with the alphas of funds in the sample, this new approach was applied to measure the skills of grouped shape managers of stock funds with active management in Brazil. The FDR approach offers a simple and objective method to estimate the proportion of skilled funds (with a positive alpha), alpha-zero funds, and unskilled funds (with a negative alpha) across the population. Applying the FDR technique, it was found as a result of research that the majority of funds were alpha-zero, then no truly skilled funds, and only a small proportion of truly skilled funds.
Esta pesquisa investiga, para o período entre 2002 e 2009, qual o impacto da sorte na performance dos gestores de fundos de investimentos em ações com gestão ativa no Brasil que superam o seu benchmark. Para tanto, foi usado um novo método, a abordagem False Discovery Rate - FDR para testar empiricamente esse impacto. Para mensurar precisamente sorte e azar, ou seja, a freqüência de falsos positivos (erros do tipo I) nas caudas do crosssection da distribuição t associadas aos alfas dos fundos da amostra, foi aplicada essa nova abordagem para mensurar de forma agrupada a habilidade dos gestores de fundos de ações com gestão ativa no Brasil. A abordagem FDR oferece um método simples e objetivo para estimar a proporção de fundos habilidosos (com um alfa positivo), fundos de alfa-zero, e fundos não habilidosos (com um alfa negativo) em toda a população. Aplicando-se a técnica FDR, encontrou-se como resultado da pesquisa que a maioria dos fundos foram alfa-zero, seguida pelos fundos verdadeiramente não habilidosos, e apenas uma pequena proporção de fundos verdadeiramente habilidosos.
Abbas, Aghababazadeh Farnoosh. « Estimating the Local False Discovery Rate via a Bootstrap Solution to the Reference Class Problem : Application to Genetic Association Data ». Thesis, Université d'Ottawa / University of Ottawa, 2015. http://hdl.handle.net/10393/33367.
Texte intégralBancroft, Timothy J. « Estimating the number of true null hypotheses and the false discovery rate from multiple discrete non-uniform permutation p-values ». [Ames, Iowa : Iowa State University], 2009. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3389284.
Texte intégralQian, Yi. « Topics in multiple hypotheses testing ». Texas A&M University, 2005. http://hdl.handle.net/1969.1/4754.
Texte intégralClements, Nicolle. « Multiple Testing in Grouped Dependent Data ». Diss., Temple University Libraries, 2013. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/253695.
Texte intégralPh.D.
This dissertation is focused on multiple testing procedures to be used in data that are naturally grouped or possess a spatial structure. We propose `Two-Stage' procedure to control the False Discovery Rate (FDR) in situations where one-sided hypothesis testing is appropriate, such as astronomical source detection. Similarly, we propose a `Three-Stage' procedure to control the mixed directional False Discovery Rate (mdFDR) in situations where two-sided hypothesis testing is appropriate, such as vegetation monitoring in remote sensing NDVI data. The Two and Three-Stage procedures have provable FDR/mdFDR control under certain dependence situations. We also present the Adaptive versions which are examined under simulation studies. The `Stages' refer to testing hypotheses both group-wise and individually, which is motivated by the belief that the dependencies among the p-values associated with the spatially oriented hypotheses occur more locally than globally. Thus, these `Staged' procedures test hypotheses in groups that incorporate the local, unknown dependencies of neighboring p-values. If a group is found significant, further investigation is done to the individual p-values within that group. For the vegetation monitoring data, we extend the investigation by providing some spatio-temporal models and forecasts to some regions where significant change was detected through the multiple testing procedure.
Temple University--Theses
SALA, SARA. « Statistical analysis of brain network ». Doctoral thesis, Università degli Studi di Milano-Bicocca, 2013. http://hdl.handle.net/10281/43723.
Texte intégralHeesen, Philipp [Verfasser], Arnold [Akademischer Betreuer] Janssen et Helmut [Akademischer Betreuer] Finner. « Adaptive step up tests for the false discovery rate (FDR) under independence and dependence / Philipp Heesen. Gutachter : Arnold Janssen ; Helmut Finner ». Düsseldorf : Universitäts- und Landesbibliothek der Heinrich-Heine-Universität Düsseldorf, 2015. http://d-nb.info/1064694039/34.
Texte intégralYi, Hui. « Assessment of Penalized Regression for Genome-wide Association Studies ». Diss., Virginia Tech, 2014. http://hdl.handle.net/10919/64845.
Texte intégralPh. D.
Breheny, Patrick John. « Regularized methods for high-dimensional and bi-level variable selection ». Diss., University of Iowa, 2009. https://ir.uiowa.edu/etd/325.
Texte intégralLabare, Mathieu. « Search for cosmic sources of high energy neutrinos with the AMANDA-II detector ». Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210183.
Texte intégralSon principe de détection repose sur la mise en évidence de particules secondaires chargées émises lors de l'interaction d'un neutrino de haute énergie (> 100 GeV) avec la matière environnant le détecteur, sur base de la détection de rayonnement Cerenkov.
Ce travail est basé sur les données enregistrées par AMANDA-II entre 2000 et 2006, afin de rechercher des sources cosmiques de neutrinos.
Le signal recherché est affecté d'un bruit de fond important de muons et de neutrinos issus de l'interaction du rayonnement cosmique primaire dans l'atmosphère. En se limitant à l'observation de l'hémisphère nord, le bruit de fond des muons atmosphériques, absorbés par la Terre, est éliminé.
Par contre, les neutrinos atmosphériques forment un bruit de fond irréductible constituant la majorité des 6100 événements sélectionnés pour cette analyse.
Il est cependant possible d'identifier une source ponctuelle de neutrinos cosmiques en recherchant un excès local se détachant du bruit de fond isotrope de neutrinos atmosphériques, couplé à une sélection basée sur l'énergie, dont le spectre est différent pour les deux catégories de neutrinos.
Une approche statistique originale est développée dans le but d'optimiser le pouvoir de détection de sources ponctuelles, tout en contrôlant le taux de fausses découvertes, donc le niveau de confiance d'une observation.
Cette méthode repose uniquement sur la connaissance de l'hypothèse de bruit de fond, sans aucune hypothèse sur le modèle de production de neutrinos par les sources recherchées. De plus, elle intègre naturellement la notion de facteur d'essai rencontrée dans le cadre de test d'hypothèses multiples.La procédure a été appliquée sur l'échantillon final d'évènements récoltés par AMANDA-II.
---------
MANDA-II is a neutrino telescope which comprises a three dimensional array of optical sensors deployed in the South Pole glacier.
Its principle rests on the detection of the Cherenkov radiation emitted by charged secondary particles produced by the interaction of a high energy neutrino (> 100 GeV) with the matter surrounding the detector.
This work is based on data recorded by the AMANDA-II detector between 2000 and 2006 in order to search for cosmic sources of neutrinos. A potential signal must be extracted from the overwhelming background of muons and neutrinos originating from the interaction of primary cosmic rays within the atmosphere.
The observation is limited to the northern hemisphere in order to be free of the atmospheric muon background, which is stopped by the Earth. However, atmospheric neutrinos constitute an irreducible background composing the main part of the 6100 events selected for this analysis.
It is nevertheless possible to identify a point source of cosmic neutrinos by looking for a local excess breaking away from the isotropic background of atmospheric neutrinos;
This search is coupled with a selection based on the energy, whose spectrum is different from that of the atmospheric neutrino background.
An original statistical approach has been developed in order to optimize the detection of point sources, whilst controlling the false discovery rate -- hence the confidence level -- of an observation. This method is based solely on the knowledge of the background hypothesis, without any assumption on the production model of neutrinos in sought sources. Moreover, the method naturally accounts for the trial factor inherent in multiple testing.The procedure was applied on the final sample of events collected by AMANDA-II.
Doctorat en Sciences
info:eu-repo/semantics/nonPublished
Shen, Shihao. « Statistical methods for deep sequencing data ». Diss., University of Iowa, 2012. https://ir.uiowa.edu/etd/5059.
Texte intégralScott, Nigel A. « An Application of Armitage Trend Test to Genome-wide Association Studies ». Digital Archive @ GSU, 2009. http://digitalarchive.gsu.edu/math_theses/74.
Texte intégralXu, Yihuan. « ROBUST ESTIMATION OF THE PARAMETERS OF g - and - h DISTRIBUTIONS, WITH APPLICATIONS TO OUTLIER DETECTION ». Diss., Temple University Libraries, 2014. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/294733.
Texte intégralPh.D.
The g - and - h distributional family is generated from a relatively simple transformation of the standard normal. By changing the skewness and elongation parameters g and h, this distributional family can approximate a broad spectrum of commonly used distributional shapes, such as normal, lognormal, Weibull and exponential. Consequently, it is easy to use in simulation studies and has been applied in multiple areas, including risk management, stock return analysis and missing data imputation studies. The current available methods to estimate the g - and - h distributional family include: letter value based method (LV), numerical maximal likelihood method (NMLE), and moment methods. Although these methods work well when no outliers or contaminations exist, they are not resistant to a moderate amount of contaminated observations or outliers. Meanwhile, NMLE is a computational time consuming method when data sample size is large. In this dissertation a quantile based least squares (QLS) estimation method is proposed to fit the g - and - h distributional family parameters and then derive its basic properties. Then QLS method is extended to a robust version (rQLS). Simulation studies are performed to compare the performance of QLS and rQLS methods with LV and NMLE methods to estimate the g - and - h parameters from random samples with or without outliers. In random samples without outliers, QLS and rQLS estimates are comparable to LV and NMLE in terms of bias and standard error. On the other hand, rQLS performs better than other non-robust method to estimate the g - and - h parameters when moderate amount of contaminated observations or outliers exist. The flexibility of the g - and - h distribution and the robustness of rQLS method make it a useful tool in various fields. The boxplot (BP) method had been used in multiple outlier detections by controlling the some-outside rate, which is the probability of one or more observations, in an outlier-free sample, falling into the outlier region. The BP method is distribution dependent. Usually the random sample is assumed normally distributed; however, this assumption may not be valid in many applications. The robustly estimated g - and - h distribution provides an alternative approach without distributional assumptions. Simulation studies indicate that the BP method based on robustly estimated g - and - h distribution identified reasonable number of true outliers while controlling number of false outliers and some-outside rate compared to normal distributional assumption when it is not valid. Another application of the robust g - and - h distribution is as an empirical null distribution in false discovery rate method (denoted as BH method thereafter). The performance of BH method depends on the accuracy of the null distribution. It has been found that theoretical null distributions were often not valid when simultaneously performing many thousands, even millions, of hypothesis tests. Therefore, an empirical null distribution approach is introduced that uses estimated distribution from the data. This is recommended as a substitute to the currently used empirical null methods of fitting a normal distribution or another member of the exponential family. Similar to BP outlier detection method, the robustly estimated g - and - h distribution can be used as empirical null distribution without any distributional assumptions. Several real data examples of microarray are used as illustrations. The QLS and rQLS methods are useful tools to estimate g - and - h parameters, especially rQLS because it noticeably reduces the effect of outliers on the estimates. The robustly estimated g - and - h distributions have multiple applications where distributional assumptions are required, such as boxplot outlier detection or BH methods.
Temple University--Theses
Nascimento, Guilherme Batista do [UNESP]. « Estratégias de imputação e associação genômica com dados de sequenciamento para características de produção de leite na raça Gir ». Universidade Estadual Paulista (UNESP), 2018. http://hdl.handle.net/11449/153060.
Texte intégralApproved for entry into archive by Alexandra Maria Donadon Lusser Segali null (alexmar@fcav.unesp.br) on 2018-03-16T19:03:02Z (GMT) No. of bitstreams: 1 nascimento_gb_dr_jabo.pdf: 1770231 bytes, checksum: ad03948ecc7b09b89d46d26b7c9e3bf8 (MD5)
Made available in DSpace on 2018-03-16T19:03:02Z (GMT). No. of bitstreams: 1 nascimento_gb_dr_jabo.pdf: 1770231 bytes, checksum: ad03948ecc7b09b89d46d26b7c9e3bf8 (MD5) Previous issue date: 2018-02-22
Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
A implementação de dados de sequenciamento de nova geração - “next-generation sequence” (NGS) em programas de melhoramento genético animal representa a mais recente ferramenta na utilização de dados genotípicos nos modelos de associação genômica, tendo em vista que todo polimorfismo é considerado nas associações entre registros fenotípicos e dados de sequenciamento. Como em toda nova tecnologia, a prospecção das variantes ainda representa um desafio no sentido computacional e de viabilidade dos custos para sua implementação em larga escala. Diante desses desafios, neste trabalho buscou-se meios de explorar os benefícios na utilização da NGS nas predições genômicas e superar as limitações inerentes a esse processo. Registros fenotípicos e genotípicos (Illumina Bovine HD BeadChip) de 2.279 animais da raça Gir (Bos taurus indicus) foram disponibilizados pela Embrapa Gado de Leite (MG) e utilizados para as análises de associação genômica. Além disso, dados de sequenciamento de 53 animais do 1000 “Bulls Project” deram origem à população de referência de imputação. Visando verificar a eficiência de imputação, foram testados diferentes cenários quanto a sua acurácia de imputação por meio da análise “leave-one-out”, utilizando apenas os dados de sequenciamento, que apresentaram eficiências de até 84%, no cenário com todos os 51 animais disponíveis após o controle de qualidade. Também foram verificadas as influências das variantes em baixa frequência na acurácia de imputação em diferentes regiões do genoma. Com a escolha da melhor estrutura da população de referência de imputação e aplicação dos controles de qualidade nos dados de NGS e genômicos, foi possível imputar os 2.237 animais genotipados, que passaram pelo controle de qualidade para dados de sequenciamento e realizar análise de associação genômica para as características produção de leite (PL305), teor de gordura (PG305), proteína (PP305) e sólidos totais (PS305), mensuradas aos 305 dias em animais da raça Gir leiteiro. Para tal, foram utilizados os valores genéticos desregredidos (dEBV) como variável resposta no modelo de regressão múltipla. Regiões de 1Mb que contivessem 100 ou mais variantes com “False Discovery Rate” (FDR) inferior a 0,05, foram consideradas significativas e submetidas a análise de enriquecimento por meio dos termos MeSh (“Medical Subject Headings”). As três regiões significativas (FDR<0,05) para PS305 foram observadas nos cromossomos 11, 12 e 28 e a única região significativa em PG305 foi no cromossomo 6. Tais regiões apresentaram variantes associadas com vias metabólicas da produção de leite, ausentes nos painéis comerciais de genotipagem, podendo representar genes candidatos a seleção.
- Implementing "next-generation sequence" (NGS) data in animal breeding programs represents the latest tool in the use of genotypic data in genomic association models, since all polymorphisms are considered in the associations between phenotypic records and sequencing data. As with any new technology, variant prospecting still represents a computational and cost-effective challenge for large-scale implementation. Front to these challenges, this work sought ways to explore the benefits of using NGS in genomic predictions and overcome the inherent limitations of this process. Phenotypic and genotypic (Illumina Bovine HD BeadChip) records of 2,279 Gir animals (Bos taurus indicus) were made available by Embrapa Gado de Leite (MG) and used for genomic association analysis. In addition, sequence data of 53 animals from the 1000 Bulls Project gave rise to the imputation reference population. In order to verify the imputation efficiency, different scenarios were tested for their imputation accuracy through the leave-one-out analysis, using only the sequencing data, which presented efficiencies of up to 84%, in the scenario with all the 51 animals available after quality control. Influences from the low-frequency variants on the accuracy of imputation in different regions of the genome were also verified. After identifying the best reference population structure of imputation and applying the quality controls in the NGS and genomic data, it was possible to impute the 2 237 genotyped animals that passed in the quality control to sequencing data and perform genomic association analysis for (PL305), fat content (PG305), protein (PP305) and total solids (PS305), measured at 305 days in dairy Gir animals. For this, unregulated genetic values (dEBV) were used as response variable in the multiple regression model. Regions of 1Mb containing 100 or more variants with a False Discovery Rate (FDR) lower than 0.05 were considered statistically significant and submitted to pathways enrichment analysis using the MeSh (Medical Subject Headings) terms. The three significant regions (FDR <0.05) for PS305 were observed on chromosomes 11, 12 and 28 and only one significant region in PG305, was on chromosome 6. These regions presented variants associated with metabolic pathways of milk production, absent in the panels genotyping, and may represent genes that are candidates for selection
convênio Capes/Embrapa (edital 15/2014)
Manandhr-Shrestha, Nabin K. « Statistical Learning and Behrens Fisher Distribution Methods for Heteroscedastic Data in Microarray Analysis ». Scholar Commons, 2010. http://scholarcommons.usf.edu/etd/3513.
Texte intégralMogrovejo, Carrasco Daniel Estuardo. « Enhancing Pavement Surface Macrotexture Characterization ». Diss., Virginia Tech, 2015. http://hdl.handle.net/10919/51957.
Texte intégralPh. D.
Elmi, Mohamed Abdillahi. « Détection des changements de points multiples et inférence du modèle autorégressif à seuil ». Thesis, Bourgogne Franche-Comté, 2018. http://www.theses.fr/2018UBFCD005/document.
Texte intégralThis thesis has two parts: the first part deals the change points problem and the second concerns the weak threshold autoregressive model (TAR); the errors are not correlated.In the first part, we treat the change point analysis. In the litterature, it exists two popular methods: The Penalized Least Square (PLS) and the Filtered Derivative introduced by Basseville end Nikirov.We give a new method of filtered derivative and false discovery rate (FDqV) on real data (the wind turbines and heartbeats series). Also, we studied an extension of FDqV method on weakly dependent random variables.In the second part, we spotlight the weak threshold autoregressive (TAR) model. The TAR model is studied by many authors such that Tong(1983), Petrucelli(1984, 1986). there exist many applications, for example in economics, biological and many others. The weak TAR model treated is the case where the innovations are not correlated
Buschmann, Tilo. « The Systematic Design and Application of Robust DNA Barcodes ». Doctoral thesis, Universitätsbibliothek Leipzig, 2016. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-209812.
Texte intégralDewaele, Benoît. « On the performance of hedge funds ». Doctoral thesis, Universite Libre de Bruxelles, 2013. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209487.
Texte intégralThe contribution of this thesis to the field of financial econometrics is the time-varying style analysis developed in the second chapter. This statistical tool combines the Sharpe analysis with a time-varying coefficient method; thereby, it is taking the best of both worlds.
Sharpe (1992) has developed the idea of “style analysis”, building on the conclusion that a regression taking into account the constraints faced by mutual funds should give a better picture of their holdings. To get an estimate of their holdings, he incorporates, in a standard regression, typical constraints related to the regulation of mutual funds, such as no short-selling and value preservation. He argues that this gives a more realistic picture of their investments and consequently better estimations of their future expected returns.
Unfortunately, in the style analysis, the weights are constrained to be constant. Even if, for funds of hedge funds the weights should also sum up to 1, given their dynamic nature, the constant weights seem more restrictive than for mutual funds. Hence, the econometric literature was lacking a method incorporating the constraints and the possibility for the weights to vary. Motivated by this gap, we develop a method that allows the weights to vary while being constrained to sum up to 1 by combining the Sharpe analysis with a time-varying coefficient model. As the style analysis has proven to be a valuable tool for mutual fund analysis, we believe our approach offers many potential fields of application both for funds of hedge funds and mutual funds.
The contributions of our thesis to the field of finance are numerous.
Firstly, we are the first to offer a comprehensive and exhaustive assessment of the world of FoHFs. Using both a bootstrap analysis and a method that allows dealing with multiple hypothesis tests straightforwardly, we show that after fees, the majority of FoHFs do not channel alpha from single-manager hedge funds and that only very few FoHFs deliver after-fee alpha per se, i.e. on top of the alpha of the hedge fund indices. We conclude that the added value of the vast majority of FoHFs should thus not be expected to come from the selection of the best HFs but from the risk management-monitoring skills and the easy access they provide to the HF universe.
Secondly, despite that the leverage is one of the key features of funds of hedge funds, there was a gap in the understanding of the impact it might have on the investor’s alpha. This was likely due to the quasi-absence of data about leverage and to the fact that literature was lacking a proper tool to implicitly estimate this leverage.
We fill this gap by proposing a theoretical model of fund of hedge fund leverage and alpha where the cost of borrowing is increasing with leverage. In the literature, this is the first model which integrates the rising cost of borrowing in the leverage decision of FoHFs. We use this model to determine the conditions under which the leverage has a negative or a positive impact on investor’s alpha and show that the manager has an incentive to take a leverage that hurts the investor’s alpha. Next, using estimates of the leverages of a sample of FoHFs obtained through the time-varying style analysis, we show that leverage has indeed a negative impact on alphas and appraisal ratios. We argue that this effect may be an explanation for the disappointing alphas delivered by funds of hedge funds and can be interpreted as a potential explanation for the “capacity constraints ” effect. To the best of our knowledge, we are the first to report and explain this negative relationship between alpha and leverage in the industry.
Thirdly, we show the interest of the time-varying coefficient model in hedge fund performance assessment and selection. Since the literature underlines that manager skills are varying with macro-economic conditions, the alpha should be dynamic. Unfortunately, using ordinary least-squares regressions forces the estimate of the alpha to be constant over the estimation period. The alpha of an OLS regression is thus static whereas the alpha generation process is by nature varying. On the other hand, we argue that the time-varying alpha captures this dynamic behaviour.
As the literature shows that abnormal-return persistence is essentially short-term, we claim that using the quasi-instantaneous detection ability of the time-varying model to determine the abnormal-return should lead to outperforming portfolios. Using a persistence analysis, we check this conjecture and show that contrary to top performers in terms of OLS alpha, the top performers in terms of past time-varying alpha generate superior and significant ex-post performance. Additionally, we contribute to the literature on the topic by showing that persistence exists and can be as long as 3 years. Finally, we use the time-varying analysis to obtain estimates of the expected returns of hedge funds and show that using those estimates in a mean-variance framework leads to better ex-post performance. Therefore, we conclude that in terms of hedge fund performance detection, the time-varying model is superior to the OLS analysis.
Lastly, we investigate the funds that have chosen to adopt the “Alternative UCITS” framework. Contrary to the previous frameworks that were designed for mutual fund managers, this new set of European Union directives can be suited to hedge fund-like strategies. We show that for Ucits funds there is some evidence, although weak, of the added value of offshore experience. On the other hand, we find no evidence of added value in the case of non-offshore experienced managers. Motivated to further refine our results, we separate Ucits with offshore experienced managers into two groups: those with equivalent offshore hedge funds (replicas) and those without (new funds). This time, Ucits with no offshore equivalents show low volatility and a strongly positive alpha. Ucits with offshore equivalents on the other hand bring no added value and, not surprisingly, bear no substantial differences in their risk profile with their paired funds offshore. Therefore, we conclude that offshore experience plays a significant role in creating positive alpha, as long as it translates into real innovations. If the fund is a pure replica, the additional costs brought by the Ucits structure represent a handicap that is hardly compensated. As “Alternative Ucits” have only been scarcely investigated, this paper represents a contribution to the better understanding of those funds.
In summary, this thesis improves the knowledge of the distribution, detection and determinants of the performance in the industry of hedge funds. It also shows that a specific field such as the hedge fund industry can still tell us more about the sources of its performance as long as we can use methodologies in adequacy with their behaviour, uses, constraints and habits. We believe that both our results and the methods we use pave the way for future research questions in this field, and are of the greatest interest for professionals of the industry as well.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
Stephens, Nathan Wallace. « A Comparison of Microarray Analyses : A Mixed Models Approach Versus the Significance Analysis of Microarrays ». BYU ScholarsArchive, 2006. https://scholarsarchive.byu.edu/etd/1115.
Texte intégralBécu, Jean-Michel. « Contrôle des fausses découvertes lors de la sélection de variables en grande dimension ». Thesis, Compiègne, 2016. http://www.theses.fr/2016COMP2264/document.
Texte intégralIn the regression framework, many studies are focused on the high-dimensional problem where the number of measured explanatory variables is very large compared to the sample size. If variable selection is a classical question, usual methods are not applicable in the high-dimensional case. So, in this manuscript, we develop the transposition of statistical tests to the high dimension. These tests operate on estimates of regression coefficients obtained by penalized linear regression, which is applicable in high-dimension. The main objective of these tests is the false discovery control. The first contribution of this manuscript provides a quantification of the uncertainty for regression coefficients estimated by ridge regression in high dimension. The Ridge regression penalizes the coefficients on their l2 norm. To do this, we devise a statistical test based on permutations. The second contribution is based on a two-step selection approach. A first step is dedicated to the screening of variables, based on parsimonious regression Lasso. The second step consists in cleaning the resulting set by testing the relevance of pre-selected variables. These tests are made on adaptive-ridge estimates, where the penalty is constructed on Lasso estimates learned during the screening step. A last contribution consists to the transposition of this approach to group-variables selection
Nguyen, Van Hanh. « Modèles de mélange semi-paramétriques et applications aux tests multiples ». Phd thesis, Université Paris Sud - Paris XI, 2013. http://tel.archives-ouvertes.fr/tel-00987035.
Texte intégralRosahl, Agnes Lioba. « How tissues tell time ». Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät I, 2015. http://dx.doi.org/10.18452/17113.
Texte intégralA circadian clock in peripheral tissues regulates physiological functions through gene expression timing. However, despite the common and well studied core clock mechanism, understanding of tissue-specific regulation of circadian genes is marginal. Overrepresentation analysis is a tool to detect transcription factor binding sites that might play a role in the regulation of co-expressed genes. To apply it to circadian genes that do share a period of about 24 hours, but differ otherwise in peak phase timing and tissue-specificity of their oscillation, clear definition of co-expressed gene subgroups as well as the appropriate choice of background genes are important prerequisites. In this setting of multiple subgroup comparisons, a hierarchical method for false discovery control reveals significant findings. Based on two microarray time series in mouse macrophages and liver cells, tissue-specific regulation of circadian genes in these cell types is investigated by promoter analysis. Binding sites for CLOCK:BMAL1, NF-Y and CREB transcription factors are among the common top candidates of overrepresented motifs. Related transcription factors of BHLH and BZIP families with specific complexation domains bind to motif variants with differing strengths, thereby arranging interactions with more tissue-specific regulators (e.g. HOX, GATA, FORKHEAD, REL, IRF, ETS regulators and nuclear receptors). Presumably, this influences the timing of pre-initiation complexes and hence tissue-specific transcription patterns. In this respect, the content of guanine (G) and cytosine (C) bases as well as CpG dinucleotides are important promoter properties directing the interaction probability of regulators, because affinities with which transcription factors are attracted to promoters depend on these sequence characteristics.
Yang-YuCheng et 鄭暘諭. « Estimation of False Discovery Rate Using Empirical Bayes Method ». Thesis, 2016. http://ndltd.ncl.edu.tw/handle/78t3ye.
Texte intégral國立成功大學
統計學系
104
In multiple testing problems, if you do not adjust the individual type I error rate and still set the individual significance level α, then the overall type I error rate of m hypotheses will be expanded to be mα. This study assumes that several genes have mixed normal distribution, and parameters have prior distribution. We use the Bayesian posterior distribution and EM algorithm to estimate the proportion of the null hypothesis which is true, then to estimate the number of null hypothesis which is true, and FDR. We compare the performance of these estimators for different parameters through the Monte Carlo algorithm. The estimator using McNemar test proposed by Ma & Chao (2011) may cause estimation error too large as the significance level is set to be α=0.05. The estimator proposed by Benjamini & Hochberg (2000) is unstable when the ratio of gene mutation is set to be random. The estimator using Friedman test proposed by Ma & Tsai (2011) also has the same scenario. When the number of genes and the number of patients both are large and the proportion of true null hypothesis is higher, the proposed EBay estimator has the smaller RMSE. Hence it’s more accurate.
Lin, Jian-Ping, et 林建平. « A Note on False Discovery Rate ». Thesis, 2009. http://ndltd.ncl.edu.tw/handle/03432627778278009898.
Texte intégral國立東華大學
應用數學系
97
Recent applications, particularly in genomics and imaging, call for testing large number of hypothesis tests at the same time. The False Discovery Rate (FDR) has been proposed and recognized as a powerful criterion in these contexts. Approximations of FDR such as local false discovery rate (lfdr) has been proposed and justified using two-group models, for example Efron (2007a). A generalization of two-group models is proposed. Under this framework, we study various approximations of false discovery rate and their validity. The connection with skew normality is also addressed.
Dickhaus, Thorsten-Ingo [Verfasser]. « False discovery rate and asymptotics / vorgelegt von Thorsten-Ingo Dickhaus ». 2008. http://d-nb.info/987358731/34.
Texte intégralHan, Bing. « A Bayesian approach to false discovery rate for large scale simultaneous inference ». 2007. http://etda.libraries.psu.edu/theses/approved/WorldWideIndex/ETD-2014/index.html.
Texte intégralJiao, Shuo. « Detecting differentially expressed genes while controlling the false discovery rate for microarray data ». 2009. http://proquest.umi.com/pqdweb?did=1921650101&sid=12&Fmt=2&clientId=14215&RQT=309&VName=PQD.
Texte intégralTitle from title screen (site viewed March 2, 2010). PDF text: 100 p. : col. ill. ; 953 K. UMI publication number: AAT 3379821. Includes bibliographical references. Also available in microfilm and microfiche formats.
« Regaining control of false findings in feature selection, classification, and prediction on neuroimaging and genomics data ». Tulane University, 2018.
Trouver le texte intégralThe technological advances of past decades have led to the accumulation of large amounts of genomic and neuroimaging data, enabling novel strategies in precision medicine. These largely rely on machine learning algorithms and modern statistical methods for big biological datasets, which are data-driven rather than hypothesis-driven. These methods often lack guarantees on the validity of the research findings. Because it can be a matter of life and death, when computational methods are deployed in clinical practice in medicine, establishing guarantees on the validity of the results is essential for the advancement of precision medicine. This thesis proposes several novel sparse regression and sparse canonical correlation analysis techniques, which by design include guarantees on the false discovery rate in variable selection. Variable selection on biomedical data is essential for many areas of healthcare, including precision medicine, population stratification, drug development, and predictive modeling of disease phenotypes. Predictive machine learning models can directly affect the patient when used to aid diagnosis, and therefore they need to be thoroughly evaluated before deployment. We present a novel approach to validly reuse the test data for performance evaluation of predictive models. The proposed methods are validated in the application on large genomic and neuroimaging datasets, where they confirm results from previous studies and also lead to new biological insights. In addition, this work puts a focus on making the proposed methods widely available to the scientific community though the release of free and open-source scientific software.
1
Alexej Gossmann
Clarke, Sandra Jane. « The performance of multiple hypothesis testing procedures in the presence of dependence ». 2010. http://repository.unimelb.edu.au/10187/7284.
Texte intégralWhile dependence is often ignored, there are many existing techniques employed currently to deal with this context but these are typically highly conservative or require difficult estimation of large correlation matrices. This thesis demonstrates that, in this high-dimensional context when the distribution of the test statistics is light-tailed, dependence is not as much of a concern as in the classical contexts. This is achieved with the use of a moving average model. One important implication of this is that, when this is satisfied, procedures designed for independent test statistics can be used confidently on dependent test statistics.
This is not the case however for heavy-tailed distributions, where we expect an asymptotic Poisson cluster process of false discoveries. In these cases, we estimate the parameters of this process along with the tail-weight from the observed exceedences and attempt to adjust procedures. We consider both conservative error rates such as the family-wise error rate and more popular methods such as the false discovery rate. We are able to demonstrate that, in the context of DNA microarrays, it is rare to find heavy-tailed distributions because most test statistics are averages.
Leap, Katie. « Multiple Testing Correction with Repeated Correlated Outcomes : Applications to Epigenetics ». 2017. https://scholarworks.umass.edu/masters_theses_2/559.
Texte intégralBuschmann, Tilo. « The Systematic Design and Application of Robust DNA Barcodes ». Doctoral thesis, 2015. https://ul.qucosa.de/id/qucosa%3A14951.
Texte intégralGültas, Mehmet. « Development of novel Classical and Quantum Information Theory Based Methods for the Detection of Compensatory Mutations in MSAs ». Doctoral thesis, 2013. http://hdl.handle.net/11858/00-1735-0000-0022-5EB0-1.
Texte intégral