Research
Research interests
Time series analysis focusing on long memory models
Semi-parametric and non-parametric statistics with particular emphasis on estimation
Publications & papers under review
Nadarajah, K., Martin, G. M. and Poskitt, D. S. (2021). Optimal Bias-correction in the Log periodogram Estimation of the Fractional Parameter: A Jackknife Approach, Journal of Statistical Planning and Inference, 211, 41-79.
Martin, G. M., Nadarajah, K. and Poskitt, D. S. (2020). Issues in the Estimation of Mis-specified Models of Fractionally Integrated Processes, Journal of Econometrics, 215(2), 559-573.
Nadarajah, K. and Sooriyarachchi, M. R. (2009). Monte Carlo Simulation Study of the Properties of Residual Maximum Likelihood (REML) Estimators for the Linear Gaussian Mixed Model, Sri Lankan Journal of Applied Statistics, 10, 119-136.
Work in progress
Mis-specification in fractionally integrated models: Consequences for forecasting (2022) (jointly with Gael Martin, Indeewara Perera, and Don Poskitt)
Estimation of mis-specified non-stationary fractionally integrated models (2023)
Estimation of time-varying coefficients in a VAR model: An Artificial Neural Network Analysis (jointly with Indeewara Perera)
Grants
British Academy Leverhulme Small Research Grant 2023 - 2025
Royal Economic Society Research Dissemination Grant 2022
Royal Economic Society Conference Grant 2020
Conference and workshop participation
Invited talks
2022
International Symposium On Nonparametric Statistics (ISNPS2022)
16th international CFE-CMStatistics Conference - Scientific member of the program committee and a session organizer
International Indian Statistical Association (IISA2022) conference - jointly organizing a session with Prof. Suhasini Subba Rao
2021
15th international CFE-CMStatistics Conference - a session organizer
School of Economics and Business, University of Navarra, Spain
2020
14th international CFE-CMStatistics Virtual Conference
2019
Economics, School of Social Sciences, University of Manchester, UK (Job talk)
Department of Economics, University of York, UK
Research School of Finance, Actuarial Studies and Statistics, Australian National University, Australia
Presentations
2018
The 14th International Symposium on Econometric Theory and Applications, University of Sydney, Australia
Econometric Society Australasian Meeting (ESAM), Auckland University of Technology, Auckland, New Zealand
The International Society for Clinical Biostatistics (ISCB) and the Statistical Society of Australia (SSA), Melbourne Convention Centre
2017
CFE-CMStatistics Conference, University of London, UK
The annual international conference of the Royal Statistical Society, Glasgow, Scotland
Attendance
2018
4th Conference of the International Society for Nonparametric Statistics, Salerno, Italy
International Workshop on High-Dimensional Time Series and Panel Data, Monash University, Australia