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We present a nonparametric Bayesian joint model for multivariate continuous and categorical variables, with the intention of developing a flexible engine for multiple imputation of missing values. The model fuses Dirichlet process mixtures…
We prove theorems about the Gaussian asymptotics of an empirical bridge built from linear model regressors with multiple regressor ordering. We study the testing of the hypothesis of a linear model for the components of a random vector: one…
Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is…
Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur in the time interval [0,t], t\ge 0. In this paper we derive…
Covariate-adaptive randomization schemes such as the minimization and stratified permuted blocks are often applied in clinical trials to balance treatment assignments across prognostic factors. The existing theoretical developments on…
The two popular systemic risk measures CoVaR (Conditional Value-at-Risk) and CoES (Conditional Expected Shortfall) have recently been receiving growing attention on applications in economics and finance. In this paper, we study the…
We consider a centered random walk with finite variance and investigate the asymptotic behaviour of the probability that the area under this walk remains positive up to a large time $n$. Assuming that the moment of order $2+\delta$ is…
Statistical models incorporating change points are common in practice, especially in the area of biomedicine. This approach is appealing in that a specific parameter is introduced to account for the abrupt change in the response variable…
We analyse the asymptotics of ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions when the initial reserves of both companies tend…
The tail of a bivariate distribution function in the domain of attraction of a bivariate extreme-value distribution may be approximated by the one of its extreme-value attractor. The extreme-value attractor has margins that belong to a…
Longitudinal or panel data can be represented as a matrix with rows indexed by units and columns indexed by time. We consider inferential questions associated with the missing data version of panel data induced by staggered adoption. We…
Interval-censored competing risks data arise when each study subject may experience an event or failure from one of several causes and the failure time is not observed exactly but rather known to lie in an interval between two successive…
This paper develops an asymptotic distribution theory for an endogenous instrumentation approach in quantile predictive regressions when both generated covariates and persistent predictors are used. The generated covariates are obtained…
In this paper, we build on the techniques developed in Albrecher et al. (2013), to generate initial-boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim…
If multiway cluster-robust standard errors are used routinely in applied economics, surprisingly few theoretical results justify this practice. This paper aims to fill this gap. We first prove, under nearly the same conditions as with…
The semiparametric accelerated failure time model is not as widely used as the Cox relative risk model mainly due to computational difficulties. Recent developments in least squares estimation and induced smoothing estimating equations…
In this work we present a simple estimation procedure for a general frailty model for analysis of prospective correlated failure times. Earlier work showed this method to perform well in a simulation study. Here we provide rigorous…
Impropriety testing for complex-valued vector has been considered lately due to potential applications ranging from digital communications to complex media imaging. This paper provides new results for such tests in the asymptotic regime,…
This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common Markovian environmental process. We subsequently…
In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular,…