Semiparametric Maximum Likelihood Research Articles

Semiparametric maximum likelihood reconstruction of stochastic differential equations driven by white and correlated noise.

A semiparametric methodology for reconstructing Markovian and non-Markovian Langevin equations from time series data using unscented Kalman filtering is introduced and explored. The drift function and the logarithm of the diffusion function are expanded into sets of polynomial basis functions. In contrast to the more common state augmentation approach, the Kalman filter is here used only for state estimation and propagation; the model parameters are determined by maximum likelihood based on the predictive distribution generated by the Kalman filter. Model selection regarding the number of included drift and diffusion basis functions is performed with the Bayesian information criterion. The method is successfully validated on various simulated datasets with known system dynamics; it achieves accurate identification of drift and diffusion functions, also outside the prescribed model class, from datasets of moderate length with medium computational cost.

Using a monotonic density ratio model to increase the power of the goodness-of-fit test for logistic regression models with case-control data.

Logistic regression models are widely used in case-control data analysis, and testing the goodness-of-fit of their parametric model assumption is a fundamental research problem. In this article, we propose to enhance the power of the goodness-of-fit test by exploiting a monotonic density ratio model, in which the ratio of case and control densities is assumed to be a monotone function. We show that such a monotonic density ratio model is naturally induced by the retrospective case-control sampling design under the alternative hypothesis. The pool-adjacent-violator algorithm is adapted to solve for the constrained nonparametric maximum likelihood estimator under the alternative hypothesis. By measuring the discrepancy between this estimator and the semiparametric maximum likelihood estimator under the null hypothesis, we develop a new Kolmogorov-Smirnov-type statistic to test the goodness-of-fit for logistic regression models with case-control data. A bootstrap resampling procedure is suggested to approximate the -value of the proposed test. Simulation results show that the type I error of the proposed test is well controlled and the power improvement is substantial in many cases. Three real data applications are also included for illustration.

Semiparametric accelerated failure time models under unspecified random effect distributions

Accelerated failure time (AFT) models with random effects, a useful alternative to frailty models, have been widely used for analyzing clustered (or correlated) time-to-event data. In the AFT model, the distribution of the unobserved random effect is conventionally assumed to be parametric, often modeled as a normal distribution. Although it has been known that a misspecfied random-effect distribution has little effect on regression parameter estimates, in some cases, the impact caused by such misspecification is not negligible. Particularly when our focus extends to quantities associated with random effects, the problem could become worse. In this paper, we propose a semi-parametric maximum likelihood approach in which the random-effect distribution under the AFT models is left unspecified. We provide a feasible algorithm to estimate the random-effect distribution as well as model parameters. Through comprehensive simulation studies, our results demonstrate the effectiveness of this proposed method across a range of random-effect distribution types (discrete or continuous) and under conditions of heavy censoring. The efficacy of the approach is further illustrated through simulation studies and real-world data examples.

Dynamic Autoregressive Liquidity (DArLiQ)

We introduce a new class of semiparametric dynamic autoregressive models for the Amihud illiquidity measure, which captures both the long-run trend in the illiquidity series with a nonparametric component and the short-run dynamics with an autoregressive component. We develop a generalized method of moments (GMM) estimator based on conditional moment restrictions and an efficient semiparametric maximum likelihood (ML) estimator based on an iid assumption. We derive large sample properties for our estimators. Finally, we demonstrate the model fitting performance and its empirical relevance on an application. We investigate how the different components of the illiquidity process obtained from our model relate to the stock market risk premium using data on the S&P 500 stock market index.

An accelerated failure time regression model for illness-death data: A frailty approach.

This work presents a new model and estimation procedure for the illness-death survival data where the hazard functions follow accelerated failure time (AFT) models. A shared frailty variate induces positive dependence among failure times of a subject for handling the unobserved dependency between the nonterminal and the terminal failure times given the observed covariates. The motivation behind the proposed modeling approach is to leverage the well-known interpretability advantage of AFT models with respect to the observed covariates, while also benefiting from the simple and intuitive interpretation of the hazard functions. A semiparametric maximum likelihood estimation procedure is developed via a kernel smoothed-aided expectation-maximization algorithm, and variances are estimated by weighted bootstrap. We consider existing frailty-based illness-death models and place particular emphasis on highlighting the contribution of our current research. The breast cancer data of the Rotterdam tumor bank are analyzed using the proposed as well as existing illness-death models. The results are contrasted and evaluated based on a new graphical goodness-of-fit procedure. Simulation results and data analysis nicely demonstrate the practical utility of the shared frailty variate with the AFT regression model under the illness-deathframework.

Uniform and [formula omitted] convergences for nonparametric continuous time regressions with semiparametric applications

We obtain uniform and Lp convergence rates of kernel type nonparametric estimators for the instantaneous conditional mean and variance functions of continuous time regressions, where the regressor is assumed to be a general recurrent diffusion. Our asymptotics are developed under a general set-up, with a shrinking sampling interval and an increasing time span, and without the stationarity assumption. Based on our convergence results, we develop a semiparametric inferential procedure for continuous time predictive regressions. In particular, a robust semiparametric likelihood ratio test for linear predictability is proposed, with its limit distribution established. We also apply our convergence results to obtain the asymptotics of a semiparametric maximum likelihood estimator of the drift of recurrent diffusions. In our simulation study, we examine the finite sample performance of our robust test against several existing tests in the literature. An empirical illustration is presented to test the predictability of the excess returns of two major stock indices using the commonly used dividend–price ratio and earnings–price ratio as the predictor.

Semiparametric current status regression model using kernel smoothing with application to HIV study

In current status regression analysis, the responses are indirectly observed and the regression coefficients can not be estimated using the commonly used least squares estimate, instead semiparametric maximum likelihood estimate is used. As the nonparametric component estimate is a non-smooth step function, the regression coefficients are bundled inside it, so the asymptotic distribution of the estimated coefficients is an open problem. To overcome this issue, smoothed versions are proposed in the literature; however, in these versions the score equation for the regression coefficients is still not continuous, the estimate is not an exact solution of the score equation, and zero-crossing is used instead. Here we propose a modified smoothed version to make the score equation a continuous function of the regression coefficients, and thus the estimator is the exact solution of the score equation. Asymptotic distribution of the resulting estimators can be shown as in our related papers. Simulation studies are conducted to evaluate the performance of the method, and it demonstrates superior finite sample behavior. For illustration, we applied the method to the analysis of a real data set from a HIV study.

Maximum Likelihood Estimation for Shape-restricted Single-index Hazard Models.

Single-index models are becoming increasingly popular in many scientific applications as they offer the advantages of flexibility in regression modeling as well as interpretable covariate effects. In the context of survival analysis, the single-index hazards models are natural extensions of the Cox proportional hazards models. In this paper, we propose a novel estimation procedure for single-index hazard models under a monotone constraint of the index. We apply the profile likelihood method to obtain the semiparametric maximum likelihood estimator, where the novelty of the estimation procedure lies in estimating the unknown monotone link function by embedding the problem in isotonic regression with exponentially distributed random variables. The consistency of the proposed semiparametric maximum likelihood estimator is established under suitable regularity conditions. Numerical simulations are conducted to examine the finite-sample performance of the proposed method. An analysis of breast cancer data is presented for illustration.

Semiparametric partial linear modeling of risk factors for ear infections: the Early Childhood Longitudinal Study

The Early Childhood Longitudinal Study–Kindergarten Class of 2010–2011 (ECLS-K:2011) ascertained timing of ear infections within age specified intervals and parent's/caregiver's report of medically diagnosed hearing loss. In this nationally representative, school-based sample of children followed from kindergarten entry through fifth grade, academic performance in reading, mathematics, and science was assessed longitudinally. Prior investigations of this ECLS-K:2011 cohort showed that age has a non-linear, monotonically increasing functional relationship with academic performance. Because of this knowledge, a semiparametric partial linear model is proposed, in which the effect of age is modeled by an unknown monotonically increasing function along with other regression parameters. The parameters are estimated by a semiparametric maximum likelihood estimator. A test of a constant effect of age is also proposed. Simulation studies are conducted to evaluate the performance of the proposed method, as compared with the commonly used linear model; the former outperforms the latter based on several criteria. We then analyzed ECLS-K:2011 data to compare results of the partial linear parametric model estimation with that of classical linear regression models.

Robust estimates of regional treatment effects in multiregional randomized clinical trials with ordinal responses

ABSTRACT Global clinical trials involving multiple regions are common in current drug development processes. Determining the regional treatment effects of a new therapy over an existing therapy is important to both the sponsors and the regulatory agencies in the regions. Existing methods are mainly for continuous primary endpoints and use subjectively specified models, which may deviate from the true model. Here, we consider trials that have ordinal responses as the primary endpoint. This article extends the recently developed robust semiparametric ordinal regression model to estimate regional treatment effects, in which the regression coefficients and regional effects are modeled parametrically for ease of interpretation, and the regression link function is specified nonparametrically for robustness. The model parameters are estimated by semiparametric maximum likelihood estimation, and the null hypothesis of no regional effect is tested by the Wald test. Simulation studies are conducted to evaluate the performance of the proposed method and compare it with the commonly used parametric model. The results of the former show an improved overall performance over the latter. In particular, the model yields much higher precision in estimation and prediction than the fixed-link model. This result is especially appealing since our interest is to estimate the treatment effect more efficiently and the estimand is of particular interest in multiregional clinical trials. We then apply the method by analyzing real multiregional clinical trials with ordinal responses as their primary endpoint.

Nonparametric and semiparametric estimation with sequentially truncated survival data.

In observational cohort studies with complex sampling schemes, truncation arises when the time to event of interest is observed only when it falls below or exceeds another random time, that is, the truncation time. In more complex settings, observation may require a particular ordering of event times; we refer to this as sequential truncation. Estimators of the event time distribution have been developed for simple left-truncated or right-truncated data. However, these estimators may be inconsistent under sequential truncation. We propose nonparametric and semiparametric maximum likelihood estimators for the distribution of the event time of interest in the presence of sequential truncation, under two truncation models. We show the equivalence of an inverse probability weighted estimator and a product limit estimator under one of these models. We study the large sample properties of the proposed estimators and derive their asymptotic variance estimators. We evaluate the proposed methods through simulation studies and apply the methods to an Alzheimer's disease study. We have developed an R package, seqTrun, for implementation of ourmethod.

Consistency of semi-parametric maximum likelihood estimator under identifiability conditions for the linear regression model with type I right censoring data

The consistency of the semi-parametric maximum likelihood estimator (SMLE) under the semi-parametric linear regression model with right-censoring data (SPLRRC model) has not been studied under the necessary and sufficient condition for the identifiability of the parameters. In this paper, we discuss the necessary and sufficient condition for the consistency of SMLE under type I right censoring.

Efficient semiparametric estimation of time‐censored intensity‐reduction models for repairable systems

AbstractThe rate reduction models have been widely used to model the recurrent failure data for their capabilities in quantifying the repair effects. Despite the widespread popularity, there have been limited studies on statistical inference of most failure rate reduction models. In view of this fact, this study proposes a semiparametric estimation framework for a general class of such models, called extended geometric failure rate reduction (EGFRR) models. Covariates are considered in our analysis and their effects are modeled as a log‐linear factor on the baseline failure rate. Unlike the existing inference methods for the EGFRR models that assume the failure data are censored at a fixed number of failures, our study considers covariates and time‐censoring, which are more common in practice. The semiparametric maximum likelihood (ML) estimators are obtained by carefully constructing the likelihood function. Asymptotic properties including consistency and weak convergence of the ML estimators are established by using the properties of the martingale process. In addition, we show that the semiparametric estimators are asymptotically efficient. A real example from the automobile industry illustrates the usefulness of the proposed framework and extensive simulations show its outstanding performance when comparing with the existing methods.

Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation

In this paper, we consider the daily Xtrackers CAC 40 UCITS from 2009 to 2020 for the analysis as it is supposed to capture more information compared to other French stock markets. After application of different statistical tests including BDS test, Hinich bispectrum test, Tsay test for linearity, long memory test and automatic serial correlation tests, we try to test the weak form efficiency of French ETF market through a logistic smooth transition AR model with nonlinear asymmetric logistic smooth transition GARCH errors using semiparametric maximum likelihood where the innovation distribution is replaced by a nonparametric estimate based on the kernel density function. After analyzing the forecasting results, we show that the price fluctuations appear as the result of transitory shocks and the predictions provided by the LSTAR-ANSTGARCH model are better than those of other models for some time horizons. The predictions from this model are also better than those of the random walk model; accordingly, the XCAC 40 price is not weak form of efficient market for the entire period because its successive return are nonlinearly dependent and doesn't generate randomly.

ESTIMATES OF DERIVATIVES OF (LOG) DENSITIES AND RELATED OBJECTS

We estimate the density and its derivatives using a local polynomial approximation to the logarithm of an unknown density function f. The estimator is guaranteed to be non-negative and achieves the same optimal rate of convergence in the interior as on the boundary of the support of f. The estimator is therefore well-suited to applications in which non-negative density estimates are required, such as in semiparametric maximum likelihood estimation. In addition, we show that our estimator compares favorably with other kernel-based methods, both in terms of asymptotic performance and computational ease. Simulation results confirm that our method can perform similarly or better in finite samples compared to these alternative methods when they are used with optimal inputs, that is, an Epanechnikov kernel and optimally chosen bandwidth sequence. We provide code in several languages.

Two-phase stratified sampling and analysis for predicting binary outcomes.

The two-phase study design is a cost-efficient sampling strategy when certain data elements are expensive and, thus, can only be collected on a sub-sample of subjects. To date guidance on how best to allocate resources within the design has assumed that primary interest lies in estimating association parameters. When primary interest lies in the development and evaluation of a risk prediction tool, however, such guidance may, in fact, be detrimental. To resolve this, we propose a novel strategy for resource allocation based on oversampling cases and subjects who have more extreme risk estimates according to a preliminary model developed using fully observed predictors. Key to the proposed strategy is that it focuses on enhancing efficiency regarding estimation of measures of predictive accuracy, rather than on efficiency regarding association parameters which is the standard paradigm. Towards valid estimation and inference for accuracy measures using the resultant data, we extend an existing semiparametric maximum likelihood ethod for estimating odds ratio association parameters to accommodate the biased sampling scheme and data incompleteness. Motivated by our sampling design, we additionally propose a general post-stratification scheme for analyzing general two-phase data for estimating predictive accuracy measures. Through theoretical calculations and simulation studies, we show that the proposed sampling strategy and post-stratification scheme achieve the promised efficiency improvement. Finally, we apply the proposed methods to develop and evaluate a preliminary model for predicting the risk of hospital readmission after cardiac surgery using data from the Pennsylvania Health Care Cost Containment Council.

Seismic fragility models of a bridge system based on copula method

Seismic fragility assessment widely uses a probabilistic measure for assessing the seismic performance of structural components or systems. This article proposes a copula-based seismic fragility (CBSF) method to derive the system-level damage probabilities of reinforced concrete bridges and to consider the correlation among seismic demands of components. First, the marginal distribution functions of the random variables are calibrated, and three Archimedean copula models are considered. Subsequently, the relevant parameters of the copula models are estimated using the semi-parametric maximum likelihood method. Next, the damage probabilities of a bridge system are calculated based on the joint distribution model with the most suitable copula model and the calibrated marginal distribution functions. Finally, the CBSF method is used to estimate the damage probability of a simply supported box girder bridge. The performance of the CBSF method is validated by a comparison of fragility curves obtained using the CBSF method and the probabilistic seismic demand analysis (PSDA) method. The comparative results demonstrate that the fragility curves obtained by the CBSF method are better than those obtained using the PSDA method. The proposed CBSF model can serve as a tool for assessing the seismic performance of structures and estimating the economic loss of existing bridge systems.

Combining multiple imputation with raking of weights: Anefficient and robust approach in the setting of nearly true models.

Multiple imputation (MI) provides us with efficient estimators in model-based methods for handling missing data under the true model. It is also well-understood that design-based estimators are robust methods that do not require accurately modeling the missing data; however, they can be inefficient. In any applied setting, it is difficult to know whether a missing data model may be good enough to win the bias-efficiency trade-off. Raking of weights is one approach that relies on constructing an auxiliary variable from data observed on the full cohort, which is then used to adjust the weights for the usual Horvitz-Thompson estimator. Computing the optimally efficient raking estimator requires evaluating the expectation of the efficient score given the full cohort data, which is generally infeasible. We demonstrate MI as a practical method to compute a raking estimator that will be optimal. We compare this estimator to common parametric and semi-parametric estimators, including standard MI. We show that while estimators, such as the semi-parametric maximum likelihood and MI estimator, obtain optimal performance under the true model, the proposed raking estimator utilizing MI maintains a better robustness-efficiency trade-off even under mild model misspecification. We also show that the standard raking estimator, without MI, is often competitive with the optimal raking estimator. We demonstrate these properties through several numerical examples and provide a theoretical discussion of conditions for asymptotically superior relative efficiency of the proposed raking estimator.

Revisiting methods for modeling longitudinal and survival data: Framingham Heart Study

BackgroundStatistical methods for modeling longitudinal and time-to-event data has received much attention in medical research and is becoming increasingly useful. In clinical studies, such as cancer and AIDS, longitudinal biomarkers are used to monitor disease progression and to predict survival. These longitudinal measures are often missing at failure times and may be prone to measurement errors. More importantly, time-dependent survival models that include the raw longitudinal measurements may lead to biased results. In previous studies these two types of data are frequently analyzed separately where a mixed effects model is used for the longitudinal data and a survival model is applied to the event outcome.MethodsIn this paper we compare joint maximum likelihood methods, a two-step approach and a time dependent covariate method that link longitudinal data to survival data with emphasis on using longitudinal measures to predict survival. We apply a Bayesian semi-parametric joint method and maximum likelihood joint method that maximizes the joint likelihood of the time-to-event and longitudinal measures. We also implement the Two-Step approach, which estimates random effects separately, and a classic Time Dependent Covariate Model. We use simulation studies to assess bias, accuracy, and coverage probabilities for the estimates of the link parameter that connects the longitudinal measures to survival times.ResultsSimulation results demonstrate that the Two-Step approach performed best at estimating the link parameter when variability in the longitudinal measure is low but is somewhat biased downwards when the variability is high. Bayesian semi-parametric and maximum likelihood joint methods yield higher link parameter estimates with low and high variability in the longitudinal measure. The Time Dependent Covariate method resulted in consistent underestimation of the link parameter. We illustrate these methods using data from the Framingham Heart Study in which lipid measurements and Myocardial Infarction data were collected over a period of 26 years.ConclusionsTraditional methods for modeling longitudinal and survival data, such as the time dependent covariate method, that use the observed longitudinal data, tend to provide downwardly biased estimates. The two-step approach and joint models provide better estimates, although a comparison of these methods may depend on the underlying residual variance.

Estimation of a binary dependent variable sample selection model with endogeneity under a nonparametric selection mechanism

In this paper, we consider an estimation of a sample selection model with a binary dependent variable and possible endogenous regressors. Under the semiparametric framework, we impose neither the parametric specification of the error distribution nor the functional form of the selection equation, which largely reduces the risk of model misspecification. Throughout this paper, we present the identification 条件 and propose a two-step semiparametric maximum likelihood estimator with the first step being a nonparametric regression for the selection variable. A control function approach is used to control for the possible endogeneity. The proposed estimator is shown to be consistent and asymptotically normal. In the simulation studies, we compare the finite sample properties of our estimator with those of existing alternatives, demonstrating the significant advantages of our approach especially in robustness to the model misspecification. Finally, an economic application on labor economics is carried out to illustrate the usefulness of our estimator.