We extend the proportional hazards model to a two-level model with a random intercept term and random coefficients. The parameters in the multilevel model are estimated by a combination of EM and Newton-Raphson algorithms. Even for samples of 50 groups, this method produces estimators of the...

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the...