A method is proposed in this paper to assess the local influence of minor perturbation for a nonlinear structural equation model with missing data that are missing at random. The main idea is to apply Zhu and Lee's (2001) approach to the conditional expectation of the complete-data...

In modelling volatility in financial time series, the double‐threshold autoregressive conditional heteroscedastic (DTARCH) model has been demonstrated as a useful variant of the autoregressive conditional heteroscedastic (ARCH) models. In this paper, we propose a weighted composite quantile...

type="main" xml:id="stan12035-abs-0001"We propose composite quantile regression for dependent data, in which the errors are from short-range dependent and strictly stationary linear processes. Under some regularity conditions, we show that composite quantile estimator enjoys root-n consistency...

In behavioral, biomedical, and psychological studies, structural equation models (SEMs) have been widely used for assessing relationships between latent variables. Regression-type structural models based on parametric functions are often used for such purposes. In many applications, however,...

In this paper, we propose a two-stage variable selection procedure for high dimensional quantile varying coefficient models. The proposed method is based on basis function approximation and LASSO-type penalties. We show that the first stage penalized estimator with LASSO penalty reduces the...

Heterogeneous data are common in social, educational, medical and behavioral sciences. Recently, finite mixture structural equation models (SEMs) and two-level SEMs have been respectively proposed to analyze different kinds of heterogeneous data. Due to the complexity of these two kinds of SEMs,...

The mean residual life provides the remaining life expectancy of a subject who has survived to a certain time-point. When covariates are present, regression models are needed to study the association between the mean residual life function and potential regression covariates. In this paper, we...