Managing distribution changes in time series prediction

DOI10.1016/J.CAM.2005.06.037zbMATH Open1086.62107OpenAlexW2047835818WikidataQ57838253 ScholiaQ57838253MaRDI QIDQ2488884FDOQ2488884

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

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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)

Cites Work

• Title not available (Why is that?)
• A new family of power transformations to improve normality or symmetry
• An algorithm for nonparametric GARCH modelling.
• Reprint of: Generalized autoregressive conditional heteroskedasticity
• Arch model with Box-Cox transformed dependent variable

Cited In (1)

• Forecasting Distributional Time Series

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