Estimation of the incubation time distribution in the singly and doubly interval censored model

We analyze nonparametric estimators for the distribution function of the incubation time in the singly and doubly interval censoring model. The classical approach is to use parametric families like Weibull, log-normal or gamma distributions in the estimation procedure. We propose nonparametric estimates for functions of the observations,...

Spectral Calibration of Time-inhomogeneous Exponential Lévy Models: with Asymptotic Normality, Confidence Intervals, Simulations, and Empirical Results

The problem of calibrating time-inhomogeneous exponential Lévy models with finite jump activity based on market prices of plain vanilla options is studied. Belomestny and Reiß introduced an estimation procedure for calibration in the homogeneous case with one maturity. The open-ended question that will be addressed is if we can extend this model...

Threshold tuning of transaction monitoring models: A risk-based approach to combat money laundering

Money laundering is an increasing problem for the global economy. To combat money laundering, banks use transaction monitoring models with particular thresholds to detect unusual transaction behaviour. However, it is a challenge to determine and evaluate the suitability of a threshold level to ensure that the risk of misclassification of...

A comprehensive toolbox for the gamma distribution: The gammadist package

The gamma distribution is one of the most important parametric models in probability theory and statistics. Although a multitude of studies have theoretically investigated the properties of the gamma distribution in the literature, there is still a serious lack of tailored statistical tools to facilitate its practical applications. To fill...

Witnessing entanglement in experiments with correlated noise

The purpose of an entanglement witness experiment is to certify the creation of an entangled state from a finite number of trials. The statistical confidence of such an experiment is typically expressed as the number of observed standard deviations of witness violations. This method implicitly assumes that the noise is well-behaved so that...

Estimation of temperature and associated uncertainty from fiber-optic raman-spectrum distributed temperature sensing

Distributed temperature sensing (DTS) systems can be used to estimate the temperature along optic fibers of several kilometers at a sub-meter interval. DTS systems function by shooting laser pulses through a fiber and measuring its backscatter intensity at two distinct wavelengths in the Raman spectrum. The scattering-loss coefficients for...

Smooth nonparametric estimation under monotonicity constraints

In this thesis we address the problem of estimating a curve of interest (which might be a probability density, a failure rate or a regression function) under monotonicity constraints. The main concern is investigating large sample distributional properties of smooth isotonic estimators, which have a faster rate of convergence and a nicer...

Analysing confidence intervals with a strict method: The difference between the classic and a conditional testing-estimation

Nonparametric Calibration of Inhomogeneous Lévy Processes using Fourier Techniques

In this report, inhomogeneous Lévy processes are studied in a discrete observational model based on derivatives of the process. First, homogeneous Lévy models are defined and an already known nonparametric method, using Fourier techniques and call and put option prices, for estimating the parameters of the model is described based on Belomestny...

Toward Rank Correlation as a Measure of Confidence in Information Retrieval Experiment Results

In the field of Information Retrieval (IR), test collections are an important part of IR system evaluation. When evaluating IR systems on a test collection, the results may not accurately represent the performance of the systems on topics not contained in that test collection. Therefore, we want to get a sense of the accuracy of results on a...

Environmental factors and productivity on Dutch hospitals: A semi-parametric approach

This paper describes the efficiency of Dutch hospitals using the method of Data Envelopment Analysis (DEA). In particular the analysis focuses on explaining cost inefficiency measures due to each hospital’s operating environment. In previous works, the resulting DEA score is regressed on environmental factors via a Tobit approach. Previously,...