Multivariate exponential smoothing: a Bayesian forecast approach based on simulation

DOI10.1016/J.MATCOM.2008.09.004MaRDI QIDQ1005220zbMATH OpenOpenAlexFDO

Authors Ana Corberán-Vallet, J. D. Bermúdez, E. Vercher

Publication date 9 March 2009

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2008.09.004

zbMATH Keywords

multivariate time seriesMonte Carlo methodsBayesian forecastingHolt-Winters modelvariate generation

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• A Limited Memory Algorithm for Bound Constrained Optimization
• A decision support system methodology for forecasting of time series based on soft computing
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Analysis and Generalisation of a Multivariate Exponential Smoothing Model
• Applied Multivariate Analysis
• Bayesian forecasting and dynamic models
• ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
• Forecasting Applications of an Adaptive Multiple Exponential Smoothing Model
• Handbook of economic forecasting. Volume 1
• Holt-Winters forecasting: an alternative formulation applied to UK air passenger data
• Improving demand forecasting accuracy using nonlinear programming software

Cited in

(3)

• Multivariate discount weighted regression and local level models
• scientific article; zbMATH DE number 1963493 (Why is no real title available?)
• Holt–Winters model with grey generating operator and its application

Describes a project that uses

Uses Software

• LBFGS-B

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