We consider the estimation of the location of the pole and memory parameter, λ0 and α respectively, of covariance stationary linear processes whose spectral density function f(λ) satisfies f(λ) ∼ C|λ − λ0|−α in a neighbourhood of λ0. We define a consistent estimator of λ0 and...

Consumers are often confronted with choices between options that vary in their short and long term benefit, or what we call immediate and delayed utility. This paper describes the marketing implications of what economists and psychologists have learned about how consumers make these choices. The...

Asymptotic inference in nonlinear vector error correction models (VECM) that exhibit regime-specific short-run dynamics is nonstandard and complicated. This paper contributes the literature in several important ways. First, we establish the consistency of the least squares estimator of the...

This paper is concerned with semiparametric estimation of a threshold binary response model. The estimation method considered in the paper is semiparametric since the parameters for a regression function are finite-dimensional, while allowing for heteroskedasticity of unknown form. In...

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, except for some specific cases, little is known about the estimation of the...

We apply duality methods of linear and convex programming to the problems of operation and rental valuation of facilities for conversion and storage of cyclically priced goods, e.g. , energy. Both problems are approached by shadow-pricing the stock (which is a purely intermediate commodity); and...

Moving from univariate to bivariate jointly dependent long memory time series introduces a phase parameter (γ), at the frequency of principal interest, zero; for short memory series γ = 0 automatically. The latter case has also been stressed under long memory, along with the "fractional...

This volume is based on lectures presented at the AMS Special Session on Algebraic Methods in Statistics and Probability--held March 27-29, 2009, at the University of Illinois at Urbana-Champaign--and on contributed articles solicited for this volume. A decade after the publication of...

Many medical studies involve modelling the relationship between an outcomevariable and a series of one or more continuous/interval scaled discrete explanatoryvariables. It is common practice in many of these studies for some, or indeed all, ofthe continuous/interval scaled discrete explanatory...

The stopping rules in sequential methods have posed a lot of difficulties inanalyzing the efficiencies of sequential procedures. The exact distributionsof the stopping points and the statistics related to those stopping rules arehardly available explicitly. Woodroofe (1976), (1977), Lai and...