Quasi-likelihood analysis for nonsynchronously observed diffusion processes

We consider nonsynchronous sampling of parameterized stochastic regression models, which contain stochastic differential equations. Constructing a quasi-likelihood function, we prove that the quasi-maximum likelihood estimator and the Bayes type estimator are consistent and asymptotically mixed normal when the sampling frequency of the nonsynchronous data becomes large.     

Quasi-maximum likelihood estimation for multiple volatility shifts

We propose the Gaussian quasi-maximum likelihood estimator (QMLE) to detect and locate multiple volatility shifts. Our Gaussian QMLE is shown to be consistent under suitable conditions and the rate of convergence is provided. It is also shown that the binary segmentation procedure provides a consistent estimation for the number of volatility shifts.     

Maximum integrated likelihood estimator of the interest parameter when the nuisance parameter is location or scale

The problem of estimation of an interest parameter in the presence of a nuisance parameter, which is either location or scale, is studied. Two estimators are considered: the usual maximum likelihood estimator and the estimator based on maximization of the integrated likelihood function. The estimators are compared, asymptotically, with respect to the bias and with respect to the mean squared error. The examples are given.     

Minimum divergence estimators,maximum likelihood and exponential families

The dual representation formula of the divergence between two distributions in a parametric model is presented. Resulting estimators do not make use of any grouping or smoothing. For smooth divergences they all coincide with the MLE on any regular exponential family.     

Quasi-maximum likelihood estimators in generalized linear models with autoregressive processes

The paper studies a generalized linear model(GLM)y_t = h(x_t~T β) + ε_t,t = l,2,...,n,where ε_1 = η_1,ε_1 =ρε_t +η_t,t = 2,3,...;n,h is a continuous differentiable function,η_t's are independent and identically distributed random errors with zero mean and finite variance σ~2.Firstly,the quasi-maximum likelihood(QML) estimators of β,p and σ~2 are given.Secondly,under mild conditions,the asymptotic properties(including the existence,weak consistency and asymptotic distribution) of the QML estimators are investigated.Lastly,the validity of method is illuminated by a simulation example.     

On allocating redundancies to k‐out‐of‐ n reliability systems

For two components in series and one redundancy with their lifetimes following the proportional hazard models, we build the likelihood ratio order and the hazard rate order for lifetimes of the redundant systems. Also, for k ‐out‐of‐ n system with components’ lifetimes having the arrangement increasing joint density and the redundancies having identically distributed lifetimes, allocating more redundancies to weaker components is shown to help improve the system's reliability. Copyright © 2014 John Wiley & Sons, Ltd.     

Numerical solution of stochastic differential equations

Numerical solution of stochastic differential equations, P. E. Kioeden and E. Platen, Springer-Verlag (1992). 632 pp. $59.00 ISBN 0-386-54062-8     

A transformed random effects model with applications

This paper proposes a transformed random effects model for analyzing non-normal panel data where both the response and (some of) the covariates are subject to transformations for inducing flexible functional form, normality, homoscedasticity, and simple model structure. We develop a maximum likelihood procedure for model estimation and inference, along with a computational device which makes the estimation procedure feasible in cases of large panels. We provide model specification tests that take into account the fact that parameter values for error components cannot be negative. We illustrate the model and methods with two applications: state production and wage distribution. The empirical results strongly favor the new model to the standard ones where either linear or log-linear functional form is employed. Monte Carlo simulation shows that maximum likelihood inference is quite robust against mild departure from normality. Copyright © 2009 John Wiley & Sons, Ltd.     

多维正态分布均值在序约束下的假设检验

在序限制下的统计推断是统计分析中的一个重要领域，保序回归理论在这个领域中起着关键性的作用。多维保序回归是一维保序回归的推广，本文给出了k=2,p=2时多维保序回归的求解方法。令Xij,j=1,2…，n是来自总体为二维正态分布N（μi，Λ)的样本，这是μi是未知的，Λ是已知的，i=1,2。令μ=（μ1,μ2)，-={（μ1,μ2)|μ1,μ∈R^2,}-0={(μ1,μ2)|μ1≤μ2,μ1，μ2∈R^2}。μ1≤μ2表示μ2-μ1的每一个分量为非负。本文也讨论了假设检验问题H0:μ∈-0,H1:μ∈-0=---0(H0是零假设）。     

HGLM modelling of dropout process using a frailty model

Summary  We introduce a shared random-effect model, derived from frailty models to account for informative dropout. We extend the iterative weighted least squares algorithm for hierarchical generalized linear models to shared random-effect models. Monte-Carlo simulations are carried out to illustrate that the proposed method works well whether the random-effect distribution is correctly specified or not. This study was supported by a grant of the Korea Health 21 R & D Project, Ministry of Health & Welfare, Republic of Korea. (01-PJ1-PG3-51200-0002).