3 papers
stat.CO2026
On the Distributed Estimation for Scalar-on-Function Regression Models
Peilun He, Han Lin Shang, Nan Zou
This paper proposes distributed estimation procedures for three scalar-on-function regression models: the functional linear model (FLM), the functional non-parametric model (FNPM),…
q-fin.ST2024
Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics
Peilun He, Gareth W. Peters, Nino Kordzakhia +1
In the analysis of commodity futures, it is commonly assumed that futures prices are driven by two latent factors: short-term fluctuations and long-term equilibrium price levels. I…
q-fin.ST2024
Multi-Factor Polynomial Diffusion Models and Inter-Temporal Futures Dynamics
Peilun He, Nino Kordzakhia, Gareth W. Peters +1
In stochastic multi-factor commodity models, it is often the case that futures prices are explained by two latent state variables which represent the short and long term stochastic…