Date of Award


Degree Type


Degree Name

Doctor of Philosophy (PhD)


Mathematics and Statistics

First Advisor

Gengsheng Qin

Second Advisor

Liang Peng

Third Advisor

Ruiyan Luo

Fourth Advisor

Xin Qi


In medical diagnostic studies, the area under the Receiver Operating Characteristic (ROC) curve (AUC) and Youden index are two summary measures widely used in the evaluation of the diagnostic accuracy of a medical test with continuous test results. The first half of this dissertation will highlight ROC analysis including extension of Youden index to the partial Youden index as well as novel confidence interval estimation for AUC and Youden index in the presence of covariates in induced linear regression models. Extensive simulation results show that the proposed methods perform well with small to moderate sized samples. In addition, some real examples will be presented to illustrate the methods.

The latter half focuses on the application of empirical likelihood method in economics and finance. Two models draw our attention. The first one is the predictive regression model with independent and identically distributed errors. Some uniform tests have been proposed in the literature without distinguishing whether the predicting variable is stationary or nearly integrated. Here, we extend the empirical likelihood methods in Zhu, Cai and Peng (2014) with independent errors to the case of an AR error process. The proposed new tests do not need to know whether the predicting variable is stationary or nearly integrated, and whether it has a finite variance or an infinite variance. Another model we considered is a GARCH(1,1) sequence or an AR(1) model with ARCH(1) errors. It is known that the observations have a heavy tail and the tail index is determined by an estimating equation. Therefore, one can estimate the tail index by solving the estimating equation with unknown parameters replaced by Quasi Maximum Likelihood Estimation (QMLE), and profile empirical likelihood method can be employed to effectively construct a confidence interval for the tail index. However, this requires that the errors of such a model have at least finite fourth moment to ensure asymptotic normality with n1/2 rate of convergence and Wilk's Theorem. We show that the finite fourth moment can be relaxed by employing some Least Absolute Deviations Estimate (LADE) instead of QMLE for the unknown parameters by noting that the estimating equation for determining the tail index is invariant to a scale transformation of the underlying model. Furthermore, the proposed tail index estimators have a normal limit with n1/2 rate of convergence under minimal moment condition, which may have an infinite fourth moment, and Wilk's theorem holds for the proposed profile empirical likelihood methods. Hence a confidence interval for the tail index can be obtained without estimating any additional quantities such as asymptotic variance.