Local linear regression for estimating time series data.

DOI10.1016/S0167-9473(01)00006-8MaRDI QIDQ5941550zbMATH OpenOpenAlexFDO

Authors Q. J. Nottingham, D. F. Cook

Publication date 20 August 2001

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-9473(01)00006-8

zbMATH Keywords

ARIMAPredictions

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Review text

Predicting future performance based on past performance history is a task often undertaken by business process managers. Various statistical and analytical techniques, such as time series and neural network modeling, are available. However, these techniques require the availability of a long time series for the development of a predictive model. Local linear regression (LLR) is an additional nonparametric statistical method that can be used to estimate a time series response variable. The LLR technique does not require a long time series for the development of a predictive model. In fact, the LLR technique can be utilized for prediction once three data points have been collected from the business process.NEWLINENEWLINEIn this work, LLR was evaluated as a tool for predicting future values of process parameters based on historical values. If successful, the LLR technique could be applied in start-up conditions or used as an alternative in some situations to time series modeling. The LLR procedure outperformed traditional time series techniques, for example stationary data sets, and had comparable results to the ARIMA model, for example seasonal data sets. In addition, the LLR technique uses data that is currently available from a process as its basis for prediction, thus providing a dynamic predictive technique that can continue to function in the presence of process changes.

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Cited in

(3)

• Functional methods for time series prediction: a nonparametric approach
• scientific article; zbMATH DE number 2076276 (Why is no real title available?)
• Supervised dimension reduction via local gradient elongation

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