Copulas-based time series combined forecasters

DOI10.1016/J.INS.2016.10.022MaRDI QIDQ2282308zbMATH OpenOpenAlexFDO

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

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

copula-based estimatormaximum likelihood estimationminimal variancenonlinear combination of forecastssimple averagetime series forecastersunbiased forecasters

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• A GMM procedure for combining volatility forecasts
• A novel forecasting method based on multi-order fuzzy time series and technical analysis
• A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates
• A review of copula models for economic time series
• An introduction to copulas.
• Correcting and combining time series forecasters
• Diagonal plane sections of trivariate copulas
• Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
• Handbook of economic forecasting. Volume 2. 2 volume set 2A-2B
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• Maximum likelihood Bayesian averaging of uncertain model predictions
• Multivariate upper semilinear copulas
• On the estimation of Pareto fronts from the point of view of copula theory
• Review of guidelines for the use of combined forecasts
• Stock and bond return predictability: the discrimination power of model selection criteria
• The benefits of bagging for forecast models of realized volatility
• The distribution of the probability mass of biconic copulas

Cited in

(5)

• A short-term wind power forecasting method based on hybrid-kernel least-squares support vector machine
• Generalized exponential autoregressive models for nonlinear time series: stationarity, estimation and applications
• Application of joint permutations for predicting coupled time series
• Correcting and combining time series forecasters
• A Bayesian multiple models combination method for time series prediction

Describes a project that uses

Uses Software

• copula
• copula
• KolmogorovSmirnovDist

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