arXiv subjects

Edward L. Boone

Publications and source records attributed to Edward L. Boone.

9 recordsLinked to original sources

arXiv2026

Bayesian Joint Estimation of the Hurst Parameter and Volatility with Applications to Fractional Option Pricing

Fractional Brownian motion has been widely used in financial modeling to capture long-range dependence and persistent behavior observed in asset dynamics. In the fractional Black--Scholes framework, accurate estimation of the Hurst parameter is essential, since estimation uncertainty can directly affect option pricing results. In this paper, we propose a Bayesian framework for joint inference on the Hurst parameter and volatility in fractional stochastic differential equation models. In contrast to approaches based solely on point estimation, the proposed method propagates posterior uncertainty directly into option pricing distributions under the fractional Black--Scholes model. Simulation studies are conducted across multiple values of the Hurst parameter and sample sizes to evaluate estimation accuracy, posterior coverage, and pricing uncertainty. The results demonstrate stable posterior inference and coherent uncertainty quantification for both model parameters and option prices. The methodology is further illustrated using WTI crude oil and natural gas data under different market regimes. The empirical analysis indicates that differences in market behavior are driven primarily by changes in volatility rather than strong long-range dependence, while posterior option price distributions reflect substantial variation in pricing uncertainty across regimes. These findings highlight the importance of incorporating joint parameter uncertainty in fractional financial models and demonstrate the practical value of Bayesian methods for option pricing applications.

stat.AP↗

arXiv2025

Essential Workers at Risk: An Agent-Based Model (SAFE-ABM) with Bayesian Uncertainty Quantification

Essential workers face elevated infection risks due to their critical roles during pandemics, and protecting them remains a significant challenge for public health planning. This study develops SAFE-ABM, a simulation-based framework using Agent-Based Modeling (ABM), to evaluate targeted intervention strategies, explicitly capturing structured interactions across families, workplaces, and schools. We simulate key scenarios such as unrestricted movement, school closures, mobility restrictions specific to essential workers, and workforce rotation, to assess their impact on disease transmission dynamics. To ensure robust uncertainty assessment, we integrate a novel Bayesian Uncertainty Quantification (UQ) framework, systematically capturing variability in transmission rates, recovery times, and mortality estimates. Our comparative analysis demonstrates that while general mobility restrictions reduce overall transmission, a workforce rotation strategy for essential workers, when combined with quarantine enforcement, most effectively limits workplace outbreaks and secondary family infections. Unlike other interventions, this approach preserves a portion of the susceptible population, resulting in a more controlled and sustainable epidemic trajectory. These findings offer critical insights for optimizing intervention strategies that mitigate disease spread while maintaining essential societal functions.

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arXiv2025

A New Perspective to Fish Trajectory Imputation: A Methodology for Spatiotemporal Modeling of Acoustically Tagged Fish Data

The focus of this paper is a key component of a methodology for understanding, interpolating, and predicting fish movement patterns based on spatiotemporal data recorded by spatially static acoustic receivers. Unlike GPS trackers which emit satellite signals from the animal's location, acoustic receivers are akin to stationary motion sensors that record movements within their detection range. Thus, for periods of time, fish may be far from the receivers, resulting in the absence of observations. The lack of information on the fish's location for extended time periods poses challenges to the understanding of fish movement patterns, and hence, the identification of proper statistical inference frameworks for modeling the trajectories. As the initial step in our methodology, in this paper, we devise and implement a simulation-based imputation strategy that relies on both Markov chain and random-walk principles to enhance our dataset over time. This methodology will be generalizable and applicable to all fish species with similar migration patterns or data with similar structures due to the use of static acoustic receivers.

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arXiv2021

Optimal Sampling Regimes for Estimating Population Dynamics

Ecologists are interested in modeling the population growth of species in various ecosystems. Studying population dynamics can assist environmental managers in making better decisions for the environment. Traditionally, the sampling of species and tracking of populations have been recorded on a regular time frequency. However, sampling can be an expensive process due to available resources, money and time. Limiting sampling makes it challenging to properly track the growth of a population. Thus, we propose a new and novel approach to designing sampling regimes based on the dynamics associated with population growth models. This design study minimizes the amount of time ecologists spend in the field, while maximizing the information provided by the data.

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arXiv2021

Monitoring SEIRD model parameters using MEWMA for the COVID-19 pandemic with application to the State of Qatar

During the current COVID-19 pandemic, decision makers are tasked with implementing and evaluating strategies for both treatment and disease prevention. In order to make effective decisions, they need to simultaneously monitor various attributes of the pandemic such as transmission rate and infection rate for disease prevention, recovery rate which indicates treatment effectiveness as well as the mortality rate and others. This work presents a technique for monitoring the pandemic by employing an Susceptible, Exposed, Infected, Recovered Death model regularly estimated by an augmented particle Markov chain Monte Carlo scheme in which the posterior distribution samples are monitored via Multivariate Exponentially Weighted Average process monitoring. This is illustrated on the COVID-19 data for the State of Qatar.

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arXiv2020

SEIRD Model for Qatar Covid-19 Outbreak: A Case Study

The Covid-19 outbreak of 2020 has required many governments to develop mathematical-statistical models of the outbreak for policy and planning purposes. This work provides a tutorial on building a compartmental model using Susceptibles, Exposed, Infected, Recovered and Deaths status through time. A Bayesian Framework is utilized to perform both parameter estimation and predictions. This model uses interventions to quantify the impact of various government attempts to slow the spread of the virus. Predictions are also made to determine when the peak Active Infections will occur.

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arXiv2019

Monotonic Nonparametric Dose Response Model

Toxicologists are often concerned with determining the dosage to which an individual can be exposed with an acceptable risk of adverse effect. These types of studies have been conducted widely in the past, and many novel approaches have been developed. Parametric techniques utilizing ANOVA and nonlinear regression models are well represented in the literature. The biggest drawback of parametric approaches is the need to specify the correct model. Recently, there has been an interest in nonparametric approaches to tolerable dosage estimation. In this work, we focus on the monotonically decreasing dose response model where the response is a percent to control. This poses two constraints to the nonparametric approach. The doseresponse function must be one at control (dose = 0), and the function must always be positive. Here we propose a Bayesian solution to this problem using a novel class of nonparametric models. A basis function developed in this research is the Alamri Monotonic spline (AM-spline). Our approach is illustrated using both simulated data and an experimental dataset from pesticide related research at the US Environmental Protection Agency.

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arXiv2014

Dynamic Bayesian Nonlinear Calibration

Statistical calibration where the curve is nonlinear is important in many areas, such as analytical chemistry and radiometry. Especially in radiometry, instrument characteristics change over time, thus calibration is a process that must be conducted as long as the instrument is in use. We propose a dynamic Bayesian method to perform calibration in the presence of a curvilinear relationship between the reference measurements and the response variable. The dynamic calibration approach adequately derives time dependent calibration distributions in the presence of drifting regression parameters. The method is applied to microwave radiometer data and simulated spectroscopy data based on work by Lundberg and de Maré (1980).

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arXiv2014

A Dynamic Approach to Linear Statistical Calibration with an Application in Microwave Radiometry

The problem of statistical calibration of a measuring instrument can be framed both in a statistical context as well as in an engineering context. In the first, the problem is dealt with by distinguishing between the 'classical' approach and the 'inverse' regression approach. Both of these models are static models and are used to estimate exact measurements from measurements that are affected by error. In the engineering context, the variables of interest are considered to be taken at the time at which you observe it. The Bayesian time series analysis method of Dynamic Linear Models (DLM) can be used to monitor the evolution of the measures, thus introducing an dynamic approach to statistical calibration. The research presented employs the use of Bayesian methodology to perform statistical calibration. The DLM's framework is used to capture the time-varying parameters that maybe changing or drifting over time. Two separate DLM based models are presented in this paper. A simulation study is conducted where the two models are compared to some well known 'static' calibration approaches in the literature from both the frequentist and Bayesian perspectives. The focus of the study is to understand how well the dynamic statistical calibration methods performs under various signal-to-noise ratios, r. The posterior distributions of the estimated calibration points as well as the 95% coverage intervals are compared by statistical summaries. These dynamic methods are applied to a microwave radiometry data set.

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