PMF forecasting for count processes: a comprehensive performance analysis

DOI10.1007/978-3-031-14197-3_6MaRDI QIDQ6601927zbMATH OpenFDO

Authors Annika Homburg, Christian H. Weiß, Layth C. Alwan, Gabriel Frahm, Rainer Göb

Publication date 11 September 2024

Full work available at URL https://doi.org/10.1007/978-3-031-14197-3_6

zbMATH Keywords

coherent forecastingcount time seriesestimation errorforecast distributionmean squared error

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 economics (62P20) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Economic time series analysis (91B84)

Cites work

• An Introduction to Discrete‐Valued Time Series
• Criteria for evaluating approximations of count distributions
• Efficient accounting for estimation uncertainty in coherent forecasting of count processes
• Efficient Probabilistic Forecasts for Counts
• On Choosing and Bounding Probability Metrics

Cited in

(3)

• Forecasting natural disaster frequencies using nonstationary count time series models
• Mean-preserving rounding integer-valued ARMA models
• Coherent forecasting of ordinal time series with application to air-quality data

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