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

mean squared errorcount time seriesestimation errorforecast distributioncoherent forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cites work

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

Cited in

(2)

• Forecasting natural disaster frequencies using nonstationary count time series models
• Mean-preserving rounding integer-valued ARMA models

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