Managing distribution changes in time series prediction

DOI10.1016/J.CAM.2005.06.037MaRDI QIDQ2488884zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 16 May 2006

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2005.06.037

zbMATH Keywords

GARCHBox-Cox transformationsGenetic algorithmsModel selectionHeteroskedasticityHypernormal distribution

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3251902 (Why is no real title available?)
• A new family of power transformations to improve normality or symmetry
• An algorithm for nonparametric GARCH modelling.
• Arch model with Box-Cox transformed dependent variable
• Reprint of: Generalized autoregressive conditional heteroskedasticity

Cited in

(1)

• Forecasting Distributional Time Series

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