Copulas-based time series combined forecasters

DOI10.1016/j.ins.2016.10.022zbMath1433.62256MaRDI QIDQ2282308

Ricardo T. A. de Oliveira, Paulo Renato A. Firmino, Tiago A. E. Ferreira, Thaíze Fernandes O. de Assis

Publication date: 7 January 2020

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2016.10.022

zbMATH Keywords

maximum likelihood estimation; minimal variance; time series forecasters; unbiased forecasters; copula-based estimator; nonlinear combination of forecasts; simple average

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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

62H05: Characterization and structure theory for multivariate probability distributions; copulas

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Uses Software

• copula
• copula
• KolmogorovSmirnovDist

Cites Work

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