I am a Teaching Associate in the Department of Econometrics and Business Statistics, Monash University, Australia. I completed my PhD in Mathematics and Statistics from Monash University, Australia under the supervision of Prof. Rob J. Hyndman, Dr Xiaoqian Wang, and Prof. Louise M. Ryan.
My PhD thesis, Optimal Predictor Selection for High-dimensional Nonparametric Forecasting, investigates nonparametric additive index models as a flexible framework for forecasting, with a focus on automating predictor selection, predictor grouping, and model estimation. In this work, I proposed the Sparse Multiple Index (SMI) Modelling algorithm, which estimates such models through an L0- and L2-regularised non-linear least squares optimisation problem with linear constraints, solved via mixed-integer programming. The thesis further investigates methods for quantifying forecast uncertainty in nonparametric additive models through the construction of prediction intervals. In particular, I introduced a novel approach—Conformal Bootstrap (CB)—which integrates block bootstrap resampling with split conformal prediction into a unified framework for interval estimation.
I am part of Monash NUMBATs, and was a research student at OPTIMA and ACEMS.
My research interests lie in statistical forecasting, classical and functional time series analysis, and predictive modelling. I am committed to developing open-source software that supports reproducible research and facilitates the adoption of advanced forecasting methods in applied settings. My most recent R package, available here, provides tools for estimating Sparse Multiple Index (SMI) models for nonparametric forecasting, enabling simultaneous predictor selection and grouping.
🎓 Education
🎓 PhD in Mathematics and Statistics, 2025, Monash University, Australia
- Monash Business School Student Excellence Award for BEX6510 Foundations of Econometrics, 2021
🎓 BSc (Hons) in Industrial Statistics, 2019, University of Colombo, Sri Lanka
- Batch top and Gold Medalist
- CR and Bhargavi Rao Gold Medal for Statistics
- Gold Medal for Industrial Statistics
- Gold Medal for the Best Final Year Research Project in Industrial Statistics
- Joseph Nalliah Arumugam Memorial Award
🎓 Chartered Institute of Management Accountants (CIMA), UK - Exam completed student, 2017
🕵️ Research Interests
Nonparametric Forecasting
High-dimensional Forecasting
Time Series Analysis
Functional Time Series
Predictive Modelling
📧 Contact Information
Department of Econometrics and Business Statistics,
Monash University,
Clayton VIC 3800,
Australia.
Email: nuwani.kodikarapalihawadana1@monash.edu
