This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the...

We propose a spline-based semiparametric maximum likelihood approach to analysing the Cox model with interval-censored data. With this approach, the baseline cumulative hazard function is approximated by a monotone B-spline function. We extend the generalized Rosen algorithm to compute the...

This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the...

xml:id="sjos816-abs-0001" type="main" xml:lang="en" <title type="main">ABSTRACT</title>In cancer diagnosis studies, high-throughput gene profiling has been extensively conducted, searching for genes whose expressions may serve as markers. Data generated from such studies have the ‘large d, small n’ feature, with the...

We investigate an automobile supply chain where a manufacturer and a retailer serve a market with a fuel-efficient automobile under a scrappage program by the government. The program awards a subsidy to each consumer who trades in his or her used automobile with a new fuel-efficient automobile,...

We consider estimation of a linear or nonparametric additive model in which a few coefficients or additive components are “large†and may be objects of substantive interest, whereas others are “small†but not necessarily zero. The number of small coefficients or additive...