Arbitrage of forecasting experts

DOI10.1007/S10994-018-05774-YzbMATH Open1493.68295OpenAlexW2901999103MaRDI QIDQ2425238FDOQ2425238

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)

Cites Work

• Statistical Analysis of Financial Data in S-Plus
• Bagging predictors
• Prediction, Learning, and Games
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Metalearning
• Title not available (Why is that?)
• Title not available (Why is that?)
• Persistence in forecasting performance and conditional combination strategies
• A survey on concept drift adaptation
• 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?
• Title not available (Why is that?)
• Tracking the best expert
• Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing
• Potential-based algorithms in on-line prediction and game theory
• Combining classifiers with meta decision trees
• Arbitrating among competing classifiers using learned referees
• The online performance estimation framework: heterogeneous ensemble learning for data streams

Cited In (3)

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

Uses Software

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

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