Optimized adaptive prediction

DOI10.1007/BF03178900MaRDI QIDQ5123722zbMATH OpenOpenAlexFDO

Authors Carlo Grillenzoni

Publication date 29 September 2020

Published in Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf03178900

zbMATH Keywords

conditional least squaresextended Kalman filterIBM stock price seriesrecursive least squarestime-varying parameter models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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Cited in

(18)

• An applied study on recursive estimation methods, neural networks and forecasting
• The adaptive prediction of a time series in the presence of a systematic component
• Time-varying parameters prediction
• Optimal prediction with memory
• Modelling and forecasting based on recursive incomplete pseudoinverse matrices
• On the forecasting abilities of a time varying autoadapting algorithm
• Adaptive methods for financial decisions
• scientific article; zbMATH DE number 4016751 (Why is no real title available?)
• A study on the RAP approach and its application
• scientific article; zbMATH DE number 4020271 (Why is no real title available?)
• Adaptive prediction: a sequential approach to forecasting and estimation of nonstationary environmental systems
• When is adaptive better than optimal?
• scientific article; zbMATH DE number 529786 (Why is no real title available?)
• scientific article; zbMATH DE number 726876 (Why is no real title available?)
• Self-Adaptive Evolution Strategies for the Adaptation of Non-Linear Predictors in Time Series Analysis
• Prediction in Nature-Inspired Dynamic Optimization
• scientific article; zbMATH DE number 222694 (Why is no real title available?)
• Adaptive prediction of multidimensional time series

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