A general formulation of Mixed Proportional Hazard models with K random effects is provided. It enables to account for a population stratified at K different levels. We then show how to approximate the partial maximum likelihood estimator using an EM algorithm. In a Monte Carlo study, the...

We show how to compute patterns of variation over time, both among and within countries, that determine the international term structure of interest rates, using maximum likelihood within a linear Gaussian state-space framework. The simultaneous estimation of common factors (shared by all...