Zhongxian Men

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This paper extends stochastic conditional duration (SCD) models for financial transaction data to allow for correlation between error processes or innovations of observed duration process and latent log duration process. Novel algorithms of Markov Chain Monte Carlo (MCMC) are developed to fit the resulting SCD models under various distributional assumptions(More)
Short-term wind speed and wind power forecasts (for a 72 h period) are obtained using a nonlinear autoregressive exogenous artificial neural network (ANN) methodology which incorporates either numerical weather prediction or high-resolution computational fluid dynamics wind field information as an exogenous input. An ensemble approach is used to combine the(More)
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