We propose a new generic method ROPES (Regularized Optimization for Prediction and Estimation with Sparse data) for decomposing, smoothing and forecasting two-dimensional sparse data. In some ways, ROPES is similar to Ridge Regression, the LASSO, Principal Component Analysis (PCA) and...

This paper uses half-hourly electricity demand data in South Australia as an empirical study of nonparametric modeling and forecasting methods for prediction from half-hour ahead to one year ahead. A notable feature of the univariate time series of electricity demand is the presence of both...

We present a nonparametric method to forecast a seasonal univariate time series, and propose four dynamic updating methods to improve point forecast accuracy. Our methods consider a seasonal univariate time series as a functional time series. We propose first to reduce the dimensionality by...

In this paper we quantify the impact of model mis-specification on the properties of parameter estimators applied to fractionally integrated processes. We demonstrate the asymptotic equivalence of four alternative parametric methods: frequency domain maximum likelihood, Whittle estimation, time...

The presence of nuisance parameters causes unexpected complications in econometric inference problems. A number of modified likelihood and message length functions have been developed for better handling of nuisance parameters but all of them are not equally efficient. In this paper, we...

Recent advances in computing power have brought the use of computer intensive estimation methods of binary panel data models within the reach of the applied researcher. The aim of this paper is to apply some of these techniques to a marleting data set and compare the results. In addition, their...

In this paper, different approaches to dealing with nuisance parameters in the likelihood based inference are presented and illustrated by reference to the linear regression model with nonspherical errors. The estimator of the error variance using each of the approaches is also derived for the...

New results for ratios of extremes from distributions with a regularly varying tail are presented. Deriving from independence results for certain functions of order statistics, 'consecutive' ratios of extremes are shown to be independent as well as non-distribution specific. They have tractable...