A particular parametric model, based on the counting process theory, and aimed at the analysis of recurrent events is explored. The model is built in the context of reliability of repairable systems and is used to analyze failures of water distribution pipes. The proposed model accounts for...

In survival analysis, proportional hazards model is the most commonly used and the Cox model is the most popular. These models are developed to facilitate statistical analysis frequently encountered in medical research or reliability studies. In analyzing real data sets, checking the validity of...

This paper revisits the panel autoregressive model, with a primary emphasis on the unit-root case. We study a class of misspecified Random effects Maximum Likelihood (mRML) estimators when T is either fixed or large, and N tends to infinity. We show that in the unit-root case, for any fixed...

Recent literature has pointed out that information asymmetries may be the reason for the poor performance of structural credit risk models to fit corporate bond data. It is well known in fact that these models lead to a strong understatement of the credit spread terms structure, particularly on...

This paper considers estimation methods and inference for linear dynamic panel data models with unit-specific heterogeneity and a short time dimension. In particular, we focus on the identification of the coefficients of time-invariant variables in a dynamic version of the Hausman and Taylor...

The study of intraindividual variability pervades empirical inquiry in virtually all subdisciplines of psychology. The statistical analysis of multivariate time-series data - a central product of intraindividual investigations - requires special modeling techniques. The dynamic factor model...

UNiversity of Minnesota Ph.D. dissertation. August 2010. Major: Statistics. Advisors: Gary W. Oehlert, Hui Zou. 1 computer file (PDF); xiii, 175 pages, appendices A-D.

In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...