Department of Statistics and Actuarial Science
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Simulation of a coal stacking process using an online X-Ray Fluorescence analyser
(Operations Research Society of South Africa (ORSSA), 2018)The Sasol Coal Value Chain is a complex system consisting of blending, stacking and reclaiming of no fewer than six different coal sources with vastly different coal qualities. The amount and quality of the gas produced ... -
Value at risk and extreme value theory : application to the Johannesburg Securities Exchange
(Bureau for Economic Research, 2018)Value at Risk (VaR) has been established as one of the most important and commonly used financial risk management tools. Nevertheless, the attractive features and wide-spread use of VaR could not help to avoid a number of ... -
Interpretable multi-label classification by means of multivariate linear regression
(South African Statistical Association, 2019)In this paper, the potential of using a multivariate regression approach in order to obtain interpretable output in a multi-label classification problem is investigated. We focus in our analysis on extensions of ordinary ... -
Improving hyperplane based density clustering solutions with applications in image processing
(Stellenbosch : Stellenbosch University, 2019-04)ENGLISH SUMMARY : Minimum Density Hyperplane (MDH) clustering is a recently proposed method that seeks the location of an optimal low-density separator by directly minimising the integral of the empirical density function ... -
Deep learning for tabular data : an exploratory study
(Stellenbosch : Stellenbosch University, 2019-04)ENGLISH SUMMARY : From about 2006, deep learning has proven to be very successul in application areas such as computer vision, natural language processing, speech and audio recognition, machine translation, bioinformatics, ... -
Preconditioning for feature selection in classification
(Stellenbosch : Stellenbosch University, 2019-04)ENGLISH SUMMARY : Increased dimensionality of data is a clear trend that has been observed over the past few decades. However, analysing high-dimensional data in order to predict an outcome can be problematic. In certain ... -
Predicting equity movements using structural models of debt pricing and statistical learning
(Stellenbosch : Stellenbosch University, 2019-04)ENGLISH SUMMARY : Valuation is not an interesting problem in corporate finance, it is the only problem. Price and value are assumed to be the same number in economic theories of equilibrium and perfect capital markets. The ... -
Investigation into the appropriateness of the South African microinsurance solvency capital regulation
(Stellenbosch : Stellenbosch University, 2019-04)ENGLISH ABSTRACT : In South Africa, there are two different regulatory capital requirement options for insurers selling microinsurance products. The first is the capital requirement for traditional insurers under the ... -
Markov modelling of disease progression in the presence of missing covariates
(Stellenbosch : Stellenbosch University, 2019-04)ENGLISH SUMMARY : Breast cancer is a very prevalent cancer amongst women. The stages of breast cancer are influenced by characteristics such as age, hormone receptor statuses, HER2 status and staging information (TNM ... -
Application of statistics and machine learning in healthcare
(Stellenbosch : Stellenbosch University, 2019-04)ENGLISH SUMMARY : Clinical performance and cost efficiency are key focus areas in the healthcare industry, since providing quality and affordable healthcare is a continuing challenge. The goal of this research is to use ... -
Classification in high dimensional data using sparse techniques
(Stellenbosch : Stellenbosch University, 2019-04)ENGLISH SUMMARY : Traditional classification techniques fail in the analysis of high-dimensional data. In response, new classification techniques and accompanying theory have recently emerged. These techniques are natural ... -
Regularised Gaussian belief propagation
(Stellenbosch : Stellenbosch University, 2018-12)ENGLISH SUMMARY : Belief propagation (BP) has been applied as an approximation tool in a variety of inference problems. BP does not necessarily converge in loopy graphs and, even if it does, is not guaranteed to provide ... -
Ensemble methods in multi-label classification
(Stellenbosch : Stellenbosch University, 2018-12) -
An application of copulas to improve PCA biplots for multivariate extremes
(Stellenbosch : Stellenbosch University, 2018-12)ENGLISH SUMMARY : Principal Component Analysis (PCA) biplots is a valuable means of visualising high dimensional data. The application of PCA biplots over a wide variety of research areas containing multivariate data is ... -
Stock market participation in the European Union
(Stellenbosch : Stellenbosch University, 2018-12)ENGLISH SUMMARY : Understanding why most people shy away from stock market participation, both on individual and country level, is very important. Stock market participation explains consumption smoothing and this in turn ... -
Catastrophe modelling : deriving the 1-in-200 year mortality shock for a South African insurer’s capital requirements under solvency assessment management
(Actuarial Society of South Africa, 2015)This paper investigates catastrophe risk for South African life insurers by considering the additional deaths that could arise from a 1-in-200 year mortality shock. Existing South African academic research on catastrophic ... -
The sources of South African equity fund performance
(Portfolio management -- South Africa, 2015-11)ENGLISH SUMMARY : This paper aims to quantify some of the sources of South African equity fund performance. In particular, it aims to provide insights into the relative importance of sector allocation and stock selection ... -
The application and testing of smart beta strategies in the South African market
(Stellenbosch : Stellenbosch University, 2018-03)ENGLISH SUMMARY: Smart Beta portfolios have recently prompted great interest both from academic researchers and market practitioners. Investors are attracted by the performances produced by these portfolios compared to the ... -
Identifying secondary series for stepwise common singular spectrum analysis
(Operations Research Society of South Africa, 2013)Common singular spectrum analysis is a technique which can be used to forecast a primary time series by using the information from a secondary series. Not all secondary series, however, provide useful information. A first ... -
Extreme value-based novelty detection
(Stellenbosch : Stellenbosch University, 2017-12)ENGLISH SUMMARY : This dissertation investigates extreme value-based novelty detection. An in-depth review of the theoretical proofs and an analytical investigation of current novelty detection methods are given. It is ...
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