6 papers · 1 filter
Spherically Embedded Time Series with Unknown Trend and Periodic Components
Jiazhen Xu, Han Lin Shang
Spherically embedded time series are time series with values naturally residing on or can be equivalently mapped to the sphere. Despite their ubiquity in diverse scientific fields,…
Spherical Spatial Autoregressive Model for Spherically Embedded Spatial Data
Jiazhen Xu, Han Lin Shang
Spherically embedded spatial data are spatially indexed observations whose values naturally reside on or can be equivalently mapped to the unit sphere. Such data are increasingly u…
White noise testing for functional time series via functional quantile autocorrelation
Ángel López-Oriona, Ying Sun, Hanlin Shang
We introduce a novel class of nonlinear tests for serial dependence in functional time series, grounded in the functional quantile autocorrelation framework. Unlike traditional app…
Interpretable additive model for analyzing high-dimensional functional time series
Haixu Wang, Tianyu Guan, Han Lin Shang
High-dimensional functional time series offers a powerful framework for extending functional time series analysis to settings with multiple simultaneous dimensions, capturing both…
Density-valued time series: Nonparametric density-on-density regression
Frédéric Ferraty, Han Lin Shang
This paper is concerned with forecasting probability density functions. Density functions are nonnegative and have a constrained integral; thus, they do not constitute a vector spa…
Intraday FX Volatility-Curve Forecasting with Functional GARCH Approaches
Fearghal Kearney, Han Lin Shang, Yuqian Zhao
This paper seeks to forecast intraday volatility curves for major foreign exchange (FX) currencies using functional GARCH models. Intraday return curves are observed at a daily fre…