Combining endogenous and exogenous variables in a special case of non-parametric time series forecasting model

DOI10.3103/S0278641916020072MaRDI QIDQ309148zbMATH OpenOpenAlexWikidataFDO

Authors Anastasiya P. Motrenko, K. V. Rudakov, Vadim Strijov

Publication date 7 September 2016

Published in Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s0278641916020072

zbMATH Keywords

forecastingtime seriesmixture modelexogenous time serieshist algorithm

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 4054857 (Why is no real title available?)
• scientific article; zbMATH DE number 3519741 (Why is no real title available?)
• scientific article; zbMATH DE number 849934 (Why is no real title available?)
• A note on the mixture transition distribution and hidden Markov models
• Mixture transition distribution (MTD) modeling of heteroscedastic time series
• Multifold Predictive Validation in ARMAX Time Series Models
• On a Least Squares Adjustment of a Sampled Frequency Table When the Expected Marginal Totals are Known
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On optimal and data-based histograms
• On the null distribution of the Kruskal–Wallis statistic
• Quantile functions for multivariate analysis: approaches and applications
• Quantile tomography: using quantiles with multivariate data
• Smoothing methods for histogram‐valued time series: an application to value‐at‐risk
• \(M\)-estimation, convexity and quantiles

Cited in

(1)

• Selecting an optimal model for forecasting the volumes of railway goods transportation

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