Bandit problems are pervasive in various fields of research and are also present in several practical applications. Examples, including dynamic pricing and assortment and the design of auctions and incentives, permeate a large number of sequential treatment experiments. Different applications...

In this paper we propose a smooth transition tree model for both the conditionalmean and variance of the short-term interest rate process. The estimation of suchmodels is addressed and the asymptotic properties of the quasi-maximum likelihoodestimator are derived. Model specification is also...

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...

This paper is concerned with modelling time series by single hidden layer feedforward neural network models. A coherent modelling strategy based on statistical inference is presented. Variable selection is carried out using existing techniques. The problem of selecting the number of hidden units...

In this paper, the Local Global Neural Networks model is proposed within the context of time series models. This formulation encompasses some already existing nonlinear models and also admits the Mixture of Experts approach. We place emphasis on the linear expert case and extensively discuss the...

In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...

In this paper a flexible GARCH-type model is developed with the aim of describing sign and size asymmetries in financial volatility as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and ergodicity of the model is established and the existence...

The goal of this paper is to develop a forecasting model of the hourly electricity load demand in the area covered by an utility company located in the southeast of Brazil. A di®erent model is constructed for each hour of day, thus there are 24 di®erent models. Each model is based on a...