This article proposes stochastic conditional duration (SCD) models with "leverage effect" for financial transaction data, which extends both the autoregressive conditional duration (ACD) model (Engle and Russell, 1998, Econometrica, 66, 1127--1162) and the existing SCD model (Bauwens and...

In some commonly used longitudinal clinical trials designs, the quadratic inference functions (QIF) method fails to work due to non-invertible estimation of the optimal weighting matrix. We propose a modified QIF method, in which the optimal weighting matrix is estimated by a linear shrinkage...

This paper concerns the analysis of discrete-valued time series using a class of categorical ARMA models recently proposed by Biswas and Song (2009). Such ARMA processes are flexible to model discrete-valued time series, allowing a wide range of marginal distributions such as binomial,...

In longitudinal data analysis with dropouts, despite its local efficiency in theory, the augmented inverse probability weighted (AIPW) estimator hardly achieves the semiparametric efficiency bound in practice, even if the variance–covariance of the longitudinal outcomes is correctly modeled....

Merging data from multiple studies has been widely adopted in biomedical research. In this paper, we consider two major issues related to merging longitudinal datasets. We first develop a rigorous hypothesis testing procedure to assess the validity of data merging, and then propose a flexible...

In this article, we focus on the circumstances in quasi-likelihood inference that the estimation accuracy of mean structure parameters is guaranteed by correct specification of the first moment, but the estimation efficiency could be diminished due to misspecification of the second moment. We...