Minimum distance estimation for random coefficient autoregressive models

In this paper, we extend the minimum distance method of Beran (1993) to random coefficient autoregressive (RCA) models. After stating the necessary assumptions the asymptotic properties of the minimum distance estimator are derived.Random coefficient autoregressive models Minimum distance estimator Absolute regularity Geometric ergodicity

Unconditional tests of goodness of fit for the intensity of time-truncated nonhomogeneous Poisson processes

Procedures for testing trends in the intensity functions of nonhomogeneous Poisson processes are based mostly on conditioning on the number of failures observed in (0. t] with fixed t. We study an unconditional test based on the time-truncated data that enables meaningful asymptotics as t --&gt; infinity. We show that the asymptotic test is conservative and that its power quickly comes close to the power of the uniformly most powerful unbiased test for the power-law alternatives. Moreover, for the goodness of fit of a specified intensity, the exact test has more power than the test based on the conditional approach. We illustrate the procedure using a real dataset.</p

Empirical likelihood ratio test for equality of k medians in censored data

Most of the existing tests for equality of k medians actually assume that under the null hypothesis, the underlying k survival functions are identical. We propose a test which is based on empirical profile likelihood for median in censored data. This test does not require such an assumption. It is shown that under the standard censoring mechanism, the asymptotic distribution of the test statistic is chi-squared with k - 1 degrees of freedom, when the null hypothesis holds.Censored data Empirical likelihood Median test Survival analysis