Mathematics
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Item Estimation of a Function of a Large Covariance Matrix Using Classical and Bayesian Methods(2018) Law, Judith N.; Lahiri, Partha; Mathematics; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)In this dissertation, we consider the problem of estimating a high dimensional co- variance matrix in the presence of small sample size. The proposed Bayesian solution is general and can be applied to dierent functions of the covariance matrix in a wide range of scientic applications, though we narrowly focus on a specic application of allocation of assets in a portfolio where the function is vector-valued with components which sum to unity. While often there exists a high dimension of time series data, in practice only a shorter length is tenable, to avoid violating the critical assumption of equal covariance matrix of investment returns over the period. Using Monte Carlo simulations and real data analysis, we show that for small sample size, allocation estimates based on the sample covariance matrix can perform poorly in terms of the traditional measures used to evaluate an allocation for portfolio analysis. When the sample size is less than the dimension of the covariance matrix, we encounter diculty computing the allocation estimates because of singularity of the sample covariance matrix. We evaluate a few classical estimators. Among them, the allocation estimator based on the well-known POET estimator is developed using a factor model. While our simulation and data analysis illustrate the good behavior of POET for large sample size (consistent with the asymptotic theory), our study indicates that it does not perform well in small samples when compared to our pro- posed Bayesian estimator. A constrained Bayes estimator of the allocation vector is proposed that is the best in terms of the posterior risk under a given prior among all estimators that satisfy the constraint. In this sense, it is better than all classi- cal plug-in estimators, including POET and the proposed Bayesian estimator. We compare the proposed Bayesian method with the constrained Bayes using the tradi- tional evaluation measures used in portfolio analysis and nd that they show similar behavior. In addition to point estimation, the proposed Bayesian approach yields a straightforward measure of uncertainty of the estimate and allows construction of credible intervals for a wide range of parameters.Item Bayesian Estimation of the Inbreeding Coefficient for Single Nucleotide Polymorphism Using Complex Survey Data(2015) Xue, Zhenyi; Lahiri, Partha; Li, Yan; Mathematics; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)In genome-wide association studies (GWAS), single nucleotide polymorphism (SNP) is often used as a genetic marker to study gene-disease association. Some large scale health sample surveys have recently started collecting genetic data. There is now growing interest in developing statistical procedures using genetic survey data. This calls for innovative statistical methods that incorporate both genetic and statistical sampling. Under simple random sampling, the traditional estimator of the inbreeding coefficient is given by 1 - (number of observed heterozygotes) / (number of expected heterozygotes). Genetic data quality control reports published by the National Health and Nutrition Examination Survey (NHANES) and the Health and Retirement Study (HRS) use this simple estimator, which serves as a reasonable quality control tool to identify problems such as genotyping error. There is, however, a need to improve on this estimator by considering different features of the complex survey design. The main goal of this dissertation is to fill in this important research gap. First, a design-based estimator and its associated jackknife standard error estimator are proposed. Secondly, a hierarchical Bayesian methodology is developed using the effective sample size and genotype count. Lastly, a Bayesian pseudo-empirical likelihood estimator is proposed using the expected number of heterozygotes in the estimating equation as a constraint when maximizing the pseudo-empirical likelihood. One of the advantages of the proposed Bayesian methodology is that the prior distribution can be used to restrict the parameter space induced by the general inbreeding model. The proposed estimators are evaluated using Monte Carlo simulation studies. Moreover, the proposed estimates of the inbreeding coefficients of SNPs from APOC1 and BDNF genes are compared using the data from the 2006 Health and Retirement Study.