Department of Statistics and Actuarial Science
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Recent Submissions
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Flexible graphical assessment of experimental designs in R : the vdg package
(Foundation for Open Access Statistics, 2016-10)The R package vdg provides a flexible interface for producing various graphical summaries of the prediction variance associated with specific linear model specifications and experimental designs. These methods include ...
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Predicting tomato crop yield from weather data using statistical learning techniques
(Stellenbosch : Stellenbosch University, 2017-03)ENGLISH SUMMARY : Predicting crop harvest quantities accurately is important in managing a farming enterprise effectively, facilitating decisions regarding crop management, allocation of resources, anticipated delivery ...
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Credit and debit value adjustment estimations in the data sparse South African market
(Stellenbosch : Stellenbosch University, 2017-03)ENGLISH SUMMARY : During 2014, the International Accounting Standards Board (IASB) implemented a new standard for measuring the fair value of assets through the International Financial Reporting Standards (IFRS) 13 guidance. ...
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L-classifier chains classification and variable selection for multi-label datasets
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : Multi-label classification extends binary and multi-class classification to scenarios where every data case is assigned several labels simultaneously. Applications include labelling images with tags, ...
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Statistical classification procedures for analyisng functional data
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : Functional data are obtained through the measurement of one or more variables at a set of discrete evaluation points over a continuum such as time, wavelength or values of a spatial variable. Functional ...
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An application of geometric data analysis techniques to South African crime data
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : Due to the high levels of violent crime in South Africa, improved methods of analysis are required in order to better scrutinize these statistics. This study diverges from traditional multivariate data ...
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Statistical inference of the multiple regression analysis of complex survey data
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : The quality of the inferences and results put forward from any statistical analysis is directly dependent on the correct method used at the analysis stage. Most survey data analyzed in practice riginate ...
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Advances in random forests with application to classification
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : Since their introduction, random forests have successfully been employed in a vast array of application areas. Fairly recently, a number of algorithms that adhere to Leo Breiman’s definition of a random ...
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The saddle-point method and its application to the hill estimator
(Stellenbosch : Stellenbosch University, 2016-12)ENGLISH SUMMARY : The saddle-point approximation is a highly accurate approximation of the distribution of a random variable. It was originally derived as an approximation in situations where a parameter takes on large ...
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Probability of default calibration for low default portfolios: revisiting the Bayesian approach
(Stellenbosch : Stellenbosch University, 2016-03)ENGLISH ABSTRACT : The Probability of Default is one of the fundamental parameters used in the quantification of credit risk. When estimating the Probability of Default for portfolios with a low default nature the ...
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Precision, consistency and bias in emerging equity markets
(International Foundation for Research & Development, 2014-05)The use of multiples is a popular approach employed by analysts to perform valuations. These multiples are based on optimal value drivers, the valuation performance of which should be underpinned by empirical findings from ...
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Multivariate statistical process evaluation and monitoring for complex chemical processes
(Stellenbosch : Stellenbosch University, 2015-12)ENGLISH ABSTRACT: In this study, the development of an innovative fully integrated process monitoring methodology is presented for a complex chemical facility, originating at the coal feed from different mines up to the ...
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Comparison of methods to calculate measures of inequality based on interval data
(Stellenbosch : Stellenbosch University, 2015-12)ENGLISH ABSTRACT: In recent decades, economists and sociologists have taken an increasing interest in the study of income attainment and income inequality. Many of these studies have used census data, but social surveys ...
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Compounding a class of Rayleigh distributions : an objective Bayesian approach
(Stellenbosch : Stellenbosch University, 2015-12)ENGLISH ABSTRACT: In this work, Bayesian estimation in the context of parametric survival analysis is con- sidered. A class of models derived by compounding and generalising the Rayleigh dis- tribution is regarded. These ...
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In-season retail sales forecasting using survival models
(Operations Research Society of South Africa, 2014)A large South African retailer (hereafter referred to as the Retailer) faces the problem of selling out inventory within a specified finite time horizon by dynamically adjusting product prices, and simultaneously maximising ...
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An individual-based model of tsetse fly populations dynamics : modelling an extensive mark-release-recapture experiment
(Stellenbosch : Stellenbosch University, 2015-04)ENGLISH ABSTRACT: Tsetse flies (Glossina spp), native to mid-continental Africa, are the vectors of trypanosomes that causes human (sleeping sickness) and animal (nagana) trypanosomiasis. Vector control plays a major ...
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Quantification of estimation instability and its application to threshold selection in extremes
(South African Statistical Association, 2015-03)
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The identification and application of common principal components
(Stellenbosch : Stellenbosch University, 2014-12)ENGLISH ABSTRACT: When estimating the covariance matrices of two or more populations, the covariance matrices are often assumed to be either equal or completely unrelated. The common principal components (CPC) model ...
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Modelling of multi-state panel data : the importance of the model assumptions
(Stellenbosch : Stellenbosch University, 2014-12)ENGLISH ABSTRACT: A multi-state model is a way of describing a process in which a subject moves through a series of states in continuous time. The series of states might be the measurement of a disease for example in ...
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Nearest hypersphere classification : a comparison with other classification techniques
(Stellenbosch : Stellenbosch University, 2014-12)ENGLISH ABSTRACT: Classification is a widely used statistical procedure to classify objects into two or more classes according to some rule which is based on the input variables. Examples of such techniques are Linear ...
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Multi-label feature selection with application to musical instrument recognition
(Stellenbosch : Stellenbosch University, 2013-12)ENGLISH ABSTRACT: An area of data mining and statistics that is currently receiving considerable attention is the field of multi-label learning. Problems in this field are concerned with scenarios where each data case can ...
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Portfolio Opportunity Distributions (PODs) for the South African market : based on regulation requirements
(Stellenbosch : Stellenbosch University, 2014-04)ENGLISH ABSTRACT: In this study Portfolio Opportunity Distributions (PODs) is applied as an alternative performance evaluation method. Traditionally, Broad-Market Indices or peer group comparisons are used to perform ...
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Empirical Bayes estimation of the extreme value index in an ANOVA setting
(Stellenbosch : Stellenbosch University, 2014-04)ENGLISH ABSTRACT: Extreme value theory (EVT) involves the development of statistical models and techniques in order to describe and model extreme events. In order to make inferences about extreme quantiles, it is necessary ...
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Value at risk and expected shortfall : traditional measures and extreme value theory enhancements with a South African market application
(Stellenbosch : Stellenbosch University, 2013-12)ENGLISH ABSTRACT: Accurate estimation of Value at Risk (VaR) and Expected Shortfall (ES) is critical in the management of extreme market risks. These risks occur with small probability, but the financial impacts could be ...
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Equity- and entity-based multiples in emerging markets : evidence from the JSE Securities Exchange
(Clute Institute, 2013-05)Analysts typically distinguish between equity- and entity-based approaches when employing the free cash flow model to perform equity valuations. However, when multiples are used to perform equity valuations, analysts ...
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Shorter telomere length : a potential susceptibility factor for HIV-associated neurocognitive impairments in South African woman
(PLoS, 2013-03)The neuropathogenesis of the human immunodeficiency virus (HIV) may manifest as various neurocognitive impairments (NCI). HIV-positive individuals also have significantly shorter telomere length (TL) in peripheral blood ...
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PCA and CVA biplots : a study of their underlying theory and quality measures
(Stellenbosch : Stellenbosch University, 2013-03)ENGLISH ABSTRACT: The main topics of study in this thesis are the Principal Component Analysis (PCA) and Canonical Variate Analysis (CVA) biplots, with the primary focus falling on the quality measures associated with ...
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Improving the accuracy of prediction using singular spectrum analysis by incorporating internet activity
(Stellenbosch : Stellenbosch University, 2013-03)ENGLISH ABSTRACT: Researchers and investors have been attempting to predict stock market activity for years. The possible financial gain that accurate predictions would offer lit a flame of greed and drive that would inspire ...
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The impact of industry classification on the valuation accuracy of multiples in the South African capital market
(The Clute Institute, 2013-01)Although multiples are used extensively in practice, empirical guidance in emerging markets is limited in this regard. In terms of valuation accuracy, the impact of peer group selection by way of industry classification ...
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The effect of liquidity on stock returns on the JSE
(Stellenbosch : Stellenbosch University, 2012-12)ENGLISH ABSTRACT: This thesis examines the effect of liquidity on excess stock returns on the Johannesburg Stock Exchange (JSE) over the period 2003 to 2011. It builds on the findings of previous studies that found size, ...
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