A test for improved multi-step forecasting

DOI10.1111/J.1467-9892.2009.00634.XMaRDI QIDQ3077670zbMATH OpenOpenAlexFDO

Authors John Haywood, G. Tunnicliffe Wilson

Publication date 22 February 2011

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2009.00634.x

zbMATH Keywords

diagnostic statisticsmodel robustnesstime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

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Cites work

• A central limit theorem for stationary processes and the parameter estimation of linear processes
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• A new look at the statistical model identification
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Asymptotic theory of statistical inference for time series
• Asymptotically efficient autoregressive model selection for multistep prediction
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3945130 (Why is no real title available?)
• scientific article; zbMATH DE number 1086082 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 3216810 (Why is no real title available?)
• Miscellanea. An improved state space representation for cyclical time series
• On a measure of lack of fit in time series models
• Robustness of maximum likelihood estimates for multi-step predictions: The exponential smoothing case
• The Accurate Numerical Inversion of Laplace Transforms
• Uniqueness of estimated k-step prediction models of ARMA processes

Cited in

(6)

• Improved tests for forecast comparisons in the presence of instabilities
• scientific article; zbMATH DE number 1086082 (Why is no real title available?)
• Multi‐step forecasting in the presence of breaks
• scientific article; zbMATH DE number 5035829 (Why is no real title available?)
• Multi-step estimation and forecasting in dynamic models
• A review of k-step-ahead predictors

Describes a project that uses

Uses Software

• AS 155
• AS 204

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