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- ItemOn an extended interpretation of linkage disequilibrium in genetic case-control association studies(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2014) Dickhaus, Thorsten; Stange, Jens; Demirhan, HaydarWe are concerned with statistical inference for 2 x 2 x K contingency tables in the context of genetic case-control association studies. Multivariate methods based on asymptotic Gaussianity of vectors of test statistics require information about the asymptotic correlation structure among these test statistics under the global null hypothesis. We show that for a wide variety of test statistics this asymptotic correlation structure is given by the linkage disequilibrium matrix of the K loci under investigation. Three popular choices of test statistics are discussed for illustration.
- ItemA jump-diffusion Libor model and tits robust calibration(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2006) Belomestrny, Denis; Schoenmakers, John G.M.In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space and test a stable non-parametric calibration algorithm which takes into account a given local covariance structure. The algorithm returns smooth and simply structured Lévy densities, and penalizes the deviation from the Libor market model. In practice, the procedure is FFT based, thus fast, easy to implement, and yields good results, particularly in view of the ill-posedness of the underlying inverse problem.