A Shrinked Forecast in Stationary Processes Favouring Percentage Error

DOI10.1111/J.1467-9892.2005.00458.XMaRDI QIDQ3440745zbMATH OpenOpenAlexFDO

Authors Key I. Shin, Heung-Sun Park

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00458.x

zbMATH Keywords

Box-Cox transformationfavouring percentage errorrelative error predictionshrinked forecaststationary processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

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Cites work

• A study on the effect of power transformation in the ARMA(p,q) model
• Forecasting power-transformed time series data
• Relative-error prediction

Cited in

(2)

• A note on minimizing absolute percentage error in combined forecasts
• Relative error prediction via kernel regression smoothers

Describes a project that uses

Uses Software

• SAS/ETS

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