Multivariate exponential smoothing: a Bayesian forecast approach based on simulation

DOI10.1016/J.MATCOM.2008.09.004zbMATH Open1163.62072OpenAlexW2045393325MaRDI QIDQ1005220FDOQ1005220

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

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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)

Cites Work

• Bayesian forecasting and dynamic models
• A Limited Memory Algorithm for Bound Constrained Optimization
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Title not available (Why is that?)
• Handbook of economic forecasting. Volume 1
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
• Applied Multivariate Analysis
• Analysis and Generalisation of a Multivariate Exponential Smoothing Model
• Forecasting Applications of an Adaptive Multiple Exponential Smoothing Model
• A decision support system methodology for forecasting of time series based on soft computing
• Improving demand forecasting accuracy using nonlinear programming software
• ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
• Holt-Winters forecasting: an alternative formulation applied to UK air passenger data

Cited In (3)

• Multivariate discount weighted regression and local level models
• Title not available (Why is that?)
• Holt–Winters model with grey generating operator and its application

Uses Software

• LBFGS-B

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