Search Results for author: Michael Stanley Smith

Found 5 papers, 0 papers with code

Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns

no code implementations10 Aug 2023 Lin Deng, Michael Stanley Smith, Worapree Maneesoonthorn

We show that the copula implicit in the skew-t distribution of Azzalini and Capitanio (2003) allows for a higher level of pairwise asymmetric dependence than two popular alternative skew-t copulas.

Variational Inference

Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices

no code implementations5 Oct 2020 Nadja Klein, Michael Stanley Smith, David J. Nott

Using data from the Australian National Electricity Market, we show that our deep time series models provide accurate short term probabilistic price forecasts, with the copula model dominating.

Time Series Time Series Analysis

Marginally-calibrated deep distributional regression

no code implementations26 Aug 2019 Nadja Klein, David J. Nott, Michael Stanley Smith

The end result is a scalable distributional DNN regression method with marginally calibrated predictions, and our work complements existing methods for probability calibration.

regression Time Series Analysis +1

Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series

no code implementations26 Dec 2017 Ruben Loaiza-Maya, Michael Stanley Smith

We propose a new variational Bayes estimator for high-dimensional copulas with discrete, or a combination of discrete and continuous, margins.

Time Series Time Series Analysis

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