Some of the material in is restricted to members of the community. By logging in, you may be able to gain additional access to certain collections or items. If you have questions about access or logging in, please use the form on the Contact Page.
Tang, A. (2011). A Class of Mixed-Distribution Models with Applications in Financial Data Analysis. Retrieved from http://purl.flvc.org/fsu/fd/FSU_migr_etd-1710
Statisticians often encounter data in the form of a combination of discrete and continuous outcomes. A special case is zero-inflated longitudinal data where the response variable has a large portion of zeros. These data exhibit correlation because observations are obtained on the same subjects over time. In this dissertation, we propose a two-part mixed distribution model to model zero-inflated longitudinal data. The first part of the model is a logistic regression model that models the probability of nonzero response; the other part is a linear model that models the mean response given that the outcomes are not zeros. Random effects with AR(1) covariance structure are introduced into both parts of the model to allow serial correlation and subject specific effect. Estimating the two-part model is challenging because of high dimensional integration necessary to obtain the maximum likelihood estimates. We propose a Monte Carlo EM algorithm for estimating the maximum likelihood estimates of parameters. Through simulation study, we demonstrate the good performance of the MCEM method in parameter and standard error estimation. To illustrate, we apply the two-part model with correlated random effects and the model with autoregressive random effects to executive compensation data to investigate potential determinants of CEO stock option grants.
MCEM Algorithm, Mixed-Distribution Models, CEO Compensation
Date of Defense
March 16, 2011.
Submitted Note
A Dissertation Submitted to the Department of Statistics in Partial Fulfillment of the Requirements for the Degree of Doctor of Philosophy.
Bibliography Note
Includes bibliographical references.
Publisher
Florida State University
Identifier
FSU_migr_etd-1710
Use and Reproduction
This Item is protected by copyright and/or related rights. You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s). The copyright in theses and dissertations completed at Florida State University is held by the students who author them.
Tang, A. (2011). A Class of Mixed-Distribution Models with Applications in Financial Data Analysis. Retrieved from http://purl.flvc.org/fsu/fd/FSU_migr_etd-1710