Research

Masini, R.P., Medeiros, M.C., Mendes, E.F. "Regularized Estimation of High-Dimensional Vector Auto-Regressions with Weakly Dependent Innovations." Journal of Time Series Analysis. Accepted.

Masini, R.P., Medeiros, M.C., Mendes, E.F. "Machine Learning Advances for Time Series Forecasting." Journal of Economic Surveys. Accepted.

Mendes, E.F., Gunawan, D. , Carter, C.' and Kohn, R. 'Flexible Particle Markov chain Monte Carlo methods with an application to a factor stochastic volatility model.'' 2020, Statistics and Computing, 30, 783 -- 798.

Medeiros, M.C. and Mendes, E.F., ''Adaptive LASSO estimation for ARDL(p,q) models with GARCH innovations.'' 2017, Econometric Reviews, 16, 622--637.

Medeiros, M.C. and Mendes, E.F., "l1-Regularization of High-dimensional Time-Series Models with non-Gaussian and Heteroskedastic Errors." 2016, Journal of Econometrics, 191(1), 255--271.

Fernandes, M., Mendes, E.F. and Scaillet, O., "Testing for symmetry and conditional symmetry using asymmetric kernels." 2015, Annals of the Institute of Statistical Mathematics, 33(7), 649--671.

Medeiros, M.C. and Mendes, E.F., "Penalized estimation of semi-parametric additive time-series models." 2014, Essays in Nonlinear Time Series Econometrics. Niels Haldrup, Mika Meitz, and Pentti Saikkonen (eds.). Oxford University Press. (refereed book chapter)

Medeiros, M.C., Mendes, E.F. and Oxley, L., "A note on nonlinear cointegration, misspecification and bimodality." 2014, Econometric Reviews, 33(7), 713--731.

Mendes, E.F. and Jiang, W., "On Convergence Rates of Mixtures of Polynomial Experts." 2012, Neural Computation, 24(11), 3025--3051.

''An extended space approach for particle Markov chain Monte Carlo methods.'' (with Kohn, R. and Carter, C.)

''Markov Interacting Importance Samplers.'' (with Scharth, M. and Kohn, R.)

"Generalized information criteria for structured sparse models" (in preparation, with Pinto, G. J. P.)