Copulas-based time series combined forecasters

DOI10.1016/J.INS.2016.10.022zbMath1433.62256OpenAlexW2531058791MaRDI QIDQ2282308

Ricardo T. A. de Oliveira, Paulo Renato A. Firmino, Tiago A. E. Ferreira, Thaíze Fernandes O. de Assis

Publication date: 7 January 2020

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2016.10.022

zbMATH Keywords

maximum likelihood estimationminimal variancetime series forecastersunbiased forecasterscopula-based estimatornonlinear combination of forecastssimple average

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (2)

Generalized exponential autoregressive models for nonlinear time series: stationarity, estimation and applications ⋮ A short-term wind power forecasting method based on hybrid-kernel least-squares support vector machine

Uses Software

• copula
• copula
• KolmogorovSmirnovDist

Cites Work

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• Multivariate upper semilinear copulas
• A novel forecasting method based on multi-order fuzzy time series and technical analysis
• A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates
• Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
• The Benefits of Bagging for Forecast Models of Realized Volatility

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