We compare the short- to medium-term accuracy of five variants or extensions of the Lee-Carter method for mortality forecasting. These include the original Lee-Carter, the Lee-Miller and Booth-Maindonald-Smith variants, and the more flexible Hyndman-Ullah and De Jong-Tickle extensions. These...

We study a new class of semiparametric instrumental variables models with the structural function represented by a partially varying coefficient functional form. Under this representation, the models are linear in the endogenous/exogenous components with unknown constant or functional...

The empirical variogram is a standard tool in the investigation and modelling of spatial covariance. However, its properties can be difficult to identify and exploit in the context of exploring the characteristics of individual datasets. This is particularly true when seeking to move beyond...

Weighting is a largely used concept in many fields of statistics and has frequently cause controversies on its justification and profit. In this paper, we analyze a weighted version of the well-known local polynomial regression estimators, derive their asymptotic bias and variance, and find that...

In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its associated sequential partial sum process under...

In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its associated sequential partial sum process under...

This paper presents a comparative analysis of linear and mixed models for short term forecasting of a real data series with a high percentage of missing data. Data are the series of significant wave heights registered at regular periods of three hours by a buoy placed in the Bay of Biscay. The...