In this paper, we investigate the nonlinear quantile regression with mixed discrete and continuous regressors. A local linear smoothing technique with the mixed continuous and discrete kernel function is proposed to estimate the conditional quantile regression function. Under some mild...

Reliable wind energy forecasting is crucial for the stable operation of power grids. This paper proposes a regional wind power probabilistic forecasting model comprising an improved kernel density estimation (IKDE), regular vine copulas, and ensemble learning. The IKDE is firstly used to...

In the auction literature, it is well established that bidders' asymmetry plays an important role in determining auction revenues. In this paper, we propose a nonparametric methodology to analyze first-price auctions with two popularly adopted asymmetries: heterogeneous risk preferences and...