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On the statistical analysis of high-dimensional factor models
High-dimensional factor models have received much attention with the rapid development in big data. We make several contributions to the asymptotic...
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The Tilted Beta-Binomial Distribution in Overdispersed Data: Maximum Likelihood and Bayesian Estimation
Binary success/failure data is an important type of data which occurs in a wide range of fields and application domains. We examine a new...
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Rank-based instrumental variable estimation for semiparametric varying coefficient spatial autoregressive models
In this paper, it is aim to propose an instrumental variable rank estimation method for varying coefficient spatial autoregressive models. The newly...
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Semiparametric likelihood inference for heterogeneous survival data under double truncation based on a Poisson birth process
We study a selective sampling scheme in which survival data are observed during a data collection period if and only if a specific failure event is...
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Bayesian empirical likelihood inference and order shrinkage for autoregressive models
This paper considers the Bayesian empirical likelihood (BEL) inference and order shrinkage for a class of sparse autoregressive models without...
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Analysis of zero-and-one inflated bounded count time series with applications to climate and crime data
This article introduces a new version of first-order binomial autoregressive (BAR(1)) process with zero-and-one inflated binomial marginals using the...
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Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
Factor copula models involve latent variables that explain much of the dependence in the observed variables. Their log-likelihoods can involve...
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Asymptotically efficient estimation for diffusion processes with nonsynchronous observations
We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observations occur in nonsynchronous...
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Iterative QML estimation for asymmetric stochastic volatility models
The paper illustrates a new procedure for estimating asymmetric stochastic volatility models. These models shape the asymmetric effect of negative...
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Multiple values-inflated bivariate INAR time series of counts: featuring zero–one inflated Poisson-Lindly case
This study considers multiple values-inflated bivariate integer-valued autoregressive (MV-inflated BINAR) models. It develops the inferential...
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Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey’s biweight function
In this paper, we study a robust estimation method for observation-driven integer-valued time series models whose conditional distribution belongs to...
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Change point in variance of fractionally integrated noise
This paper studies the quasi-maximum likelihood estimator (quasi-MLE) of a change point in variance for the fractionally integrated noise with memory...
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A blockwise network autoregressive model with application for fraud detection
This paper proposes a blockwise network autoregressive (BWNAR) model by grou** nodes in the network into nonoverlap** blocks to adapt networks...
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Empirical likelihood for nonparametric regression models with spatial autoregressive errors
In this paper, we propose to use the empirical likelihood (EL) method to construct confidence regions for nonparametric regression models with...
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Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
We consider adaptive maximum-likelihood-type estimators and adaptive Bayes-type ones for discretely observed ergodic diffusion processes with...
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Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process
In this paper, we study the properties of a sequential maximum likelihood estimator of the unknown parameter for the squared radial...
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A Weighted Composite Likelihood Approach to Inference from Clustered Survey Data Under a Two-Level Model
Two-level models are widely used for analysing clustered survey data with the design structure matching the model hierarchy. Hypothesis testing on...
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Integration of model-based recursive partitioning with bias reduction estimation: a case study assessing the impact of Oliver’s four factors on the probability of winning a basketball game
In this contribution, we investigate the importance of Oliver’s Four Factors, proposed in the literature to identify a basketball team’s strengths...
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Empirical likelihood and estimating equations for survey data analysis
This paper provides an overview of empirical likelihood methods for analysis of survey data when the finite population parameters are defined through...
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Likelihood Transformations and Artificial Mixtures
In this paper we consider the generalized self-consistency approach to maximum likelihood estimation (MLE). The idea is to represent a given...