We present an economically motivated two-factor term structure model that generalizes existing stochastic mean term structure models. By allowing a certain parameter to acquire dynamical behavior we extend the two-factor model to obtain a nonlinear three-factor model that is shown, in a...

In two-group discriminant analysis, the Neyman-Pearson Lemma establishes that the ROC, receiver operating characteristic, curve for an arbitrary linear function is everywhere below the ROC curve for the true likelihood ratio. The weighted area between these two curves can be used as a risk...

In the analysis of medical survival data, semiparametric proportional hazards models are widely used. When the proportional hazards assumption is not tenable, these models will not be suitable. Other models for covariate effects can be useful. In particular, we consider accelerated life models,...

This article makes two contributions. First, we outline a simple simulation-based framework for constructing conditional distributions for multifactor and multidimensional diffusion processes, for the case where the functional form of the conditional density is unknown. The distributions can be...

This article introduces a new model for transaction prices in the presence of market microstructure noise in order to study the properties of the price process on two different time scales, namely, transaction time where prices are sampled with every transaction and tick time where prices are...

Inference for Dirichlet process hierarchical models is typically performed using Markov chain Monte Carlo methods, which can be roughly categorized into marginal and conditional methods. The former integrate out analytically the infinite-dimensional component of the hierarchical model and sample...

In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, a number of alternative estimators have been suggested. These include empirical likelihood (EL), continuous updating, and exponential tilting estimators. We show that these estimators share a...

This paper is concerned with model monitoring and quality control schemes, which are founded on a decision theoretic formulation. After identifying unacceptable weaknesses associated with Wald, sequential probability ratio test (SPRT) and Cuscore monitors, the Bayes decision monitor is...

This paper applies a geo-additive generalized linear mixed model to describe the spatial variation in the prevalence of cough among children under 5 years of age using the 2000 Demographic and Health survey (DHS) data from Malawi. Of particular interest in the analysis were the small area effect...

This article investigates the statistical properties of the realized variance estimator in the presence of market microstructure noise. Different from the existing literature, the analysis relies on a pure jump process for high-frequency security prices and explicitly distinguishes among...