Forecasting using random subspace methods

DOI10.1016/J.JECONOM.2019.01.009MaRDI QIDQ1740303zbMATH OpenOpenAlexFDO

Authors Tom Boot, Didier Nibbering

Publication date 30 April 2019

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://www.econstor.eu/bitstream/10419/149477/1/16073.pdf

zbMATH Keywords

dimension reductionforecastingrandom subspace

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Recommendations

• Forecasting linear dynamical systems using subspace methods
• Forecasting macroeconomic variables in data-rich environments
• Complete subset regressions
• Forecasting in vector autoregressions with many predictors
• The Generalized Dynamic Factor Model

Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A statistical perspective on algorithmic leveraging
• Averaging estimators for autoregressions with a near unit root
• Bagging predictors
• Bayesian compressed regression
• Bayesian compressed vector autoregressions
• CUR matrix decompositions for improved data analysis
• Complete subset regressions
• Complete subset regressions with large-dimensional sets of predictors
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Database-friendly random projections: Johnson-Lindenstrauss with binary coins.
• Derandomizing the Ahlswede-Winter matrix-valued Chernoff bound using pessimistic estimators, and applications
• Extensions of Lipschitz mappings into a Hilbert space
• Fast monte-carlo algorithms for finding low-rank approximations
• Forecasting Using Principal Components From a Large Number of Predictors
• Forecasting economic time series using targeted predictors
• Forecasting with model uncertainty: representations and risk reduction
• How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
• Least-squares forecast averaging
• Model Selection and Model Averaging
• On some properties of orthogonal Weingarten functions
• Random Projections for Large-Scale Regression
• Revisiting useful approaches to data-rich macroeconomic forecasting
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Strong converse for identification via quantum channels
• The fast Johnson-Lindenstrauss transform and approximate nearest neighbors

Cited in

(11)

• Variable selection in time series forecasting using random forests
• A Randomization Rule for Selecting Forecasts
• An Alternative to Transfer Function Forecasting Based on Subspace Methods
• A test of the joint efficiency of macroeconomic forecasts using multivariate random forests
• Forecasting for big data: does suboptimality matter?
• Forecasting linear dynamical systems using subspace methods
• Text Selection
• Forecast modelling for rotations of principal axes of multidimensional data sets.
• Complete subset least squares support vector regression
• scientific article; zbMATH DE number 3848500 (Why is no real title available?)
• Time-varying forecast combination for high-dimensional data

Describes a project that uses

Uses Software

• glmnet

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