The standard methodology when building statistical models has been to use one of several algorithms to systematically search the model space for a good model. If the number of variables is small then all possible models or best subset procedures may be used, but for data sets with a large number...

Since the mid 1980's many statisticians have studied methods for combining parametric andnonparametric esimates to improve the quality of fits in a regression problem. Notably in 1987,Einsporn and Birch proposed the Model Robust Regression estimate (MRR1) in which estimatesof the parametric...

Parametric regression fitting (such as OLS) to a data setrequires specification of an underlying model. If thespecified model is different from the true model, then theparametric fit suffers to a degree that varies with the extentof model misspecification. Mays and Birch (1996)addressed this...

The content of this dissertation is divided into two main topics: 1) nonlinear profilemonitoring and 2) an improved approximate distribution for the T^2 statistic based on thesuccessive differences covariance matrix estimator. (Part 1) In an increasing number of cases the quality of a product or...

The phenomenon of overdispersion arises when categorical or count data exhibit variability larger than expected. Multinomial data commonly demonstrate this phenomenon when the counts arise from correlated or cluster observations. There are several ways of analyzing overdispersed multinomial...

With the emergence and expansion of credit derivatives, which are financial instruments that are based on corporate bonds and provide their holders a protection against default, the importance of estimating probabilities of default has reached an unprecedented level. We have developed a Bayesian...

The term structure of interest rates is used to price defaultable bonds and credit derivatives, as well as to infer the quality of bonds for risk management purposes. We introduce a new framework for estimating the term structure of interest rates for corporate bonds. The proposed model jointly...

Medical decision makers would like to use decision theory to determine optimal treatment strategies for patients, but it can be very difficult to specify loss functions in the medical setting, especially when trying to assign monetary value to health outcomes. These issues led to the development...

This dissertation is aiming to find out the impact of the Gramm-Leach-Bliley Act on insurance companies' survival. The events of interest are bankruptcy and acquisition, which are correlated and censor each other. A statistical survival analysis method is developed first and then applied to the...

Assessing the economic value of increasingly precise covariance estimates is of great interest in finance. We present a realized tick-time covariance estimator that incorporates cross-market tick-matching and intelligent sub-sampling. These features of the estimator offer the potential for...