@article{759c5259bcb34154a344440ff17a96e2,
title = "Nonlinear Least Squares Estimation of Log-ACD Models",
abstract = "This paper studies a nonlinear least squares estimation method for the logarithmic autoregressive conditional duration (Log-ACD) model. We establish the strong consistency and asymptotic normality for our estimator under weak moment conditions suitable for applications involving heavy-tailed distributions. We also discuss inference for the Log-ACD model and Log-ACD models with exogenous variables. Our results can be easily translated to study Log-GARCH models. Both simulation study and real data analysis are conducted to show the usefulness of our results.",
author = "Zhao Chen and Wei Liu and Wang, {Christina Dan} and Wu, {Wu qing} and Wu, {Yao hua}",
note = "Funding Information: We dedicate this manuscript to the memory of Pamela Sklar, whose guidance and wisdom we miss daily. We strive to continue her legacy of thoughtful, innovative, and collaborative science. Data were generated as part of the CommonMind Consortium supported by funding from Takeda Pharmaceuticals Company Limited, F. Hoffman-La Roche Ltd and NIH grants R01MH085542, R01MH093725, P50MH066392, P50MH080405, R01MH097276, RO1-MH-075916, P50M096891, P50MH084053S1, R37MH057881 and R37MH057881S1, HHSN271201300031C, AG02219, AG05138 and MH06692. Brain tissue for the study was obtained from the following brain bank collections: the Mount Sinai NIH Brain and Tissue Repository, the University of Pennsylvania Alzheimer{\textquoteright}s Disease Core Center, the University of Pittsburgh NeuroBioBank and Brain and Tissue Repositories and the NIMH Human Brain Collection Core. CMC Leadership: P. Sklar, J. Buxbaum (Icahn School of Medicine at Mount Sinai), B. Devlin, D. Lewis (University of Pittsburgh), R. Gur, C.-G. Hahn (University of Pennsylvania), K. Hirai, H. Toyoshiba (Takeda Pharmaceuticals Company Limited), E. Domenici, L. Essioux (F. Hoffman-La Roche Ltd), L. Mangravite, M. Peters (Sage Bionetworks), T. Lehner, B. Lipska (NIMH). ROSMAP study data were provided by the Rush Alzheimer{\textquoteright}s Disease Center, Rush University Medical Center, Chicago. Data collection was supported through funding by NIA grants P30AG10161, R01AG15819, R01AG17917, R01AG30146, R01AG36836, U01AG32984, U01AG46152, the Illinois Department of Public Health, and the Translational Genomics Research Institute. The iPSYCH-GEMS team acknowledges funding from the Lundbeck Foundation (grant no. R102-A9118 and R155-2014-1724), the Stanley Medical Research Institute, an Advanced Grant from the European Research Council (project no. 294838), the Danish Strategic Research Council the Novo Nordisk Foundation for supporting the Danish National Biobank resource, and grants from Aarhus and Copenhagen Universities and University Hospitals, including support to the iSEQ Center, the GenomeDK HPC facility, and the CIRRAU Center. The Genotype-Tissue Expression (GTEx) Project was supported by the Common Fund of the Office of the Director of the National Institutes of Health, and by NCI, NHGRI, NHLBI, NIDA, NIMH, and NINDS. The data used for the analyses described in this manuscript were obtained from the GTEx Portal on September 5, 2016. BrainSpan: Atlas of the Developing Human Brain (Internet). Funded by ARRA Awards 1RC2MH089921-01, 1RC2MH090047-01, and 1RC2MH089929-01. H.K.I. was supported by R01 MH107666-01. Publisher Copyright: {\textcopyright} 2018, Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag GmbH Germany, part of Springer Nature.",
year = "2018",
month = jul,
day = "1",
doi = "10.1007/s10255-018-0766-6",
language = "English (US)",
volume = "34",
pages = "516--533",
journal = "Acta Mathematicae Applicatae Sinica",
issn = "0168-9673",
publisher = "Springer Verlag",
number = "3",
}