This paper studies the asymptotic and nite-sample performance of penalized regression methods when different selectors of the regularization parameter are used under the assumption that the true model is, or is not, included among the candidate model. In the latter setting, we relax assumptions...

Longitudinal data refer to the situation where repeated observations are available for each sampled individual. Methodologies that take this structure into account allow for systematic differences between individuals that are not related to covariates. A standard methodology in the statistics...

We prove the consistency of the averaged periodogram estimator (APE) in two new cases. First, we prove that the APE is consistent for negative memory parameters, after suitable tapering. Second, we prove that the APE is consistent for a power law in the cross-spectrum and therefore for a power...

We introduce a class of new sharing arrangements in a multi-stage supply chain in which the retailer observes stationary autoregressive moving average demand with Gaussian white noise (shocks). Similar to previous research, we assume each supply chain player constructs its best linear forecast...

We study a two-stage supply chain where the retailer observes two demand streams coming from two consumer populations. We further assume that each demand sequence is a station- ary Autoregressive Moving Average (ARMA) process with respect to a Gaussian white noise sequence (shocks). The shock...

We consider a two-tier inventory management system with one retailer and one supplier. The retailer serves a demand driven by a stationary moving average process (of possibly infinite order) and places periodic inventory replenishment orders to the supplier. In this setting, we study the value...

It is common for firms to forecast stationary demand using simple exponential smoothing due to the ease of computation and understanding of the methodology. In this paper we show that the use of this methodology can be extremely costly in the context of inventory in a two-stage supply chain when...