Gregory Rice

University of Waterloo - Department of Statistics and Actuarial Science

200 University Avenue West

Waterloo, Ontario N2L 3G1

Croatia

SCHOLARLY PAPERS

2

DOWNLOADS

150

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures

Number of pages: 38 Posted: 27 Aug 2018 Last Revised: 29 Jul 2019
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 94 (289,213)

Abstract:

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Forward curves, S&P GSCI, Commodity Futures, Functional Data Analysis, Functional Autoregressive Models, Functional Principal Component Analysis

2.

Sequential Monitoring for Changes from Stationarity to Mild Non-stationarity

Number of pages: 55 Posted: 16 Oct 2018 Last Revised: 10 Jun 2019
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 56 (386,154)

Abstract:

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change point detection, stationarity testing, normal approximation, non-stationary ARMA time series, non-stationary GARCH time series