Predicting a Multitude of Time Series

DOI10.2307/2287504MaRDI QIDQ3918959zbMATH OpenOpenAlexFDO

Authors Ronald A. Thisted, William E. Wecker

Publication date 1981

Full work available at URL https://doi.org/10.2307/2287504

zbMATH Keywords

demand estimationmultiple time seriespredictionshrinkage estimatorsStein estimators

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

Cited in

(5)

• Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model
• Forecasting time series with common seasonal patterns (with discussion)
• Bayesian break-point forecasting in parallel time series, with application to university admissions
• Shrinkage estimation of contemporaneous outliers in concurrent time serie
• Shrinkage estimation in time series using a bootstrapped covariance estimate

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