3 papers
stat.ME2024
Spatial Principal Component Analysis and Moran Statistics for Multivariate Functional Areal Data
Dharini Pathmanathan, Issa-Mbenard Dabo, Tzung Hsuen Khoo +2
The paper introduces a multivariate functional areal spatial principal component analysis (mfasPCA) framework, together with multivariate functional Moran's I statistics, to enable…
stat.ME2024
Generalized dynamic functional principal component analysis
Tzung Hsuen Khoo, Issa-Mbenard Dabo, Dharini Pathmanathan +1
In this paper, we explore dimension reduction for functional time series. We propose a generalized dynamic functional principal component analysis (GDFPCA) which does not rely on s…
stat.ME2023
A Markov-switching spatio-temporal ARCH model
Tzung Hsuen Khoo, Dharini Pathmanathan, Philipp Otto +1
Stock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns. The autoregressive conditional heteroskedasticity (ARCH) and generalized ARC…