33 citations · 136 across the 34 of their papers we have counts for
6 papers · 1 filter
On function-on-function regression: Partial least squares approach
Ufuk Beyaztas, Han Lin Shang
Functional data analysis tools, such as function-on-function regression models, have received considerable attention in various scientific fields because of their observed high-dim…
Implied volatility surface predictability: the case of commodity markets
Fearghal Kearney, Han Lin Shang, Lisa Sheenan
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivat…
Dynamic principal component regression for forecasting functional time series in a group structure
Han Lin Shang
When generating social policies and pricing annuity at national and subnational levels, it is essential both to forecast mortality accurately and ensure that forecasts at the subna…
Forecasting functional time series using weighted likelihood methodology
Ufuk Beyaztas, Han Lin Shang
Functional time series whose sample elements are recorded sequentially over time are frequently encountered with increasing technology. Recent studies have shown that analyzing and…
Dynamic principal component regression: Application to age-specific mortality forecasting
Han Lin Shang
In areas of application, including actuarial science and demography, it is increasingly common to consider a time series of curves; an example of this is age-specific mortality rat…
A robust functional time series forecasting method
Han Lin Shang
Univariate time series often take the form of a collection of curves observed sequentially over time. Examples of these include hourly ground-level ozone concentration curves. Thes…