A Quantile Regression Model for Failure-Time Data with Time-Dependent Covariates

Since survival data occur over time, often important covariates that we wish to consider also change over time. Such covariates are referred as time-dependent covariates. Quantile regression offers flexible modeling of survival data by allowing the covariates to vary with quantiles. This paper provides a novel quantile regression model accommodating time-dependent covariates, for analyzing survival data subject to right censoring. Our simple estimation technique assumes the existence of instrumental variables. In addition, we present a doubly-robust estimator in the sense of Robins and Rotnitzky (1992). The asymptotic properties of the estimators are rigorously studied. Finite-sample properties are demonstrated by a simulation study. The utility of the proposed methodology is demonstrated using the Stanford heart transplant dataset

LONGEVITY ACROSS GENERATIONS

Labor and Human Capital,

On the Viterbi process with continuous state space

This paper deals with convergence of the maximum a posterior probability path estimator in hidden Markov models. We show that when the state space of the hidden process is continuous, the optimal path may stabilize in a way which is essentially different from the previously considered finite-state setting.Comment: Published in at http://dx.doi.org/10.3150/10-BEJ294 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

PORTFOLIO OPTIMIZATION WITH MANY ASSETS: THE IMPORTANCE OF SHORT-SELLING

We investigate the properties of mean-variance efficient portfolios when the number of assets is large. We show analytically and empirically that the proportion of assets held short converges to 50 % as the number of assets grows, and the investment proportions are extreme, with several assets held in large positions. The cost of the no-shortselling constraint increases dramatically with the number of assets. For about 100 assets the Sharpe ratio can be more than doubled with the removal of this constraint. These results have profound implications for the theoretical validity of the CAPM, and for policy regarding short-selling limitations