2 citations · 4 across the 11 of their papers we have counts for
11 papers
Forecasting age distribution of life-table death counts via α-transformation
Han Lin Shang, Steven Haberman
We introduce a compositional power transformation, known as an α-transformation, to model and forecast a time series of life-table death counts, possibly with zero counts observed…
Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures
Chenlei Leng, Degui Li, Hanlin Shang +1
We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation…
Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Han Lin Shang, Kaiying Ji
Intraday financial data often take the form of a collection of curves that can be observed sequentially over time, such as intraday stock price curves. These curves can be viewed a…
Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series
Degui Li, Runze Li, Han Lin Shang
In this paper, we consider detecting and estimating breaks in heterogeneous mean functions of high-dimensional functional time series which are allowed to be cross-sectionally corr…
A nonlinearity and model specification test for functional time series
Xin Huang, Han Lin Shang, Tak Kuen Siu
An important issue in functional time series analysis is whether an observed series comes from a purely random process. We extend the BDS test, a widely-used nonlinear independence…
A model sufficiency test using permutation entropy
Xin Huang, Han Lin Shang, David Pitt
Using the ordinal pattern concept in permutation entropy, we propose a model sufficiency test to study a given model's point prediction accuracy. Compared to some classical model s…