Arbitrage of forecasting experts

DOI10.1007/S10994-018-05774-YMaRDI QIDQ2425238zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 26 June 2019

Published in Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10994-018-05774-y

zbMATH Keywords

forecastingtime seriesdiversitydependencymetalearningcombining expert advicedynamic ensembles

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Learning and adaptive systems in artificial intelligence (68T05) Inference from stochastic processes and prediction (62M20)

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• Forecast with forecasts: diversity matters
• Combining forecasts with expert information
• Recursive forecast combination for dependent heterogeneous data
• scientific article; zbMATH DE number 1304936
• Pooling of forecasts

Cites work

• scientific article; zbMATH DE number 6378123 (Why is no real title available?)
• scientific article; zbMATH DE number 6860782 (Why is no real title available?)
• A survey on concept drift adaptation
• Arbitrating among competing classifiers using learned referees
• Bagging predictors
• Combining classifiers with meta decision trees
• Forecasting time series with complex seasonal patterns using exponential smoothing
• Managing diversity in regression ensembles
• Metalearning
• Persistence in forecasting performance and conditional combination strategies
• Potential-based algorithms in on-line prediction and game theory
• Prediction, Learning, and Games
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Statistical Analysis of Financial Data in S-Plus
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The online performance estimation framework: heterogeneous ensemble learning for data streams
• Tracking the best expert

Cited in

(4)

• SETAR-Tree: a novel and accurate tree algorithm for global time series forecasting
• Explainable online ensemble of deep neural network pruning for time series forecasting
• Metalearning of time series: an approximate dynamic programming approach
• Retail sales forecasting with meta-learning

Describes a project that uses

Uses Software

• opera
• TSDL
• Cubist
• earth
• gbm
• Forecast
• Kernlab
• ranger
• glmnet
• TDSL
• forecast
• MASS (R)
• pls
• UCI
• R

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