2 papers
cs.IT2021
Minimum Message Length Autoregressive Moving Average Model Order Selection
Zheng Fang, David L. Dowe, Shelton Peiris +1
This paper derives a Minimum Message Length (MML) criterion for the model selection of the Autoregressive Moving Average (ARMA) time series model. The MML87 performances on the ARM…
stat.AP2017
Efficient Modelling & Forecasting with range based volatility models and application
Kok-Haur Ng, Shelton Peiris, Jennifer So-kuen-Chan +2
This paper considers an alternative method for fitting CARR models using combined estimating functions (CEF) by showing its usefulness in applications in economics and quantitative…