3 papers
stat.ME2021
Is the group structure important in grouped functional time series?
Yang Yang, Han Lin Shang
We study the importance of group structure in grouped functional time series. Due to the non-uniqueness of group structure, we investigate different disaggregation structures in gr…
stat.AP2020
Forecasting Australian subnational age-specific mortality rates
Han Lin Shang, Yang Yang
When modeling sub-national mortality rates, it is important to incorporate any possible correlation among sub-populations to improve forecast accuracy. Moreover, forecasts at the s…
stat.AP2018
Intraday forecasts of a volatility index: Functional time series methods with dynamic updating
Han Lin Shang, Yang Yang, Fearghal Kearney
As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and…