Forecasting daily time series using periodic unobserved components time series models

DOI10.1016/j.csda.2005.09.009zbMath1157.62505MaRDI QIDQ1010432

Siem Jan Koopman, Marius Ooms

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://papers.tinbergen.nl/04135.pdf

zbMATH Keywords

seasonality; Kalman filter; forecasting; periodic time series; unobserved components time series models

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Signal extraction and filtering by linear semiparametric methods, A Bayesian analysis of moving average processes with time-varying parameters, Forecasting time series using principal component analysis with respect to instrumental variables, A time series bootstrap procedure for interpolation intervals

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