An Alternative Methodology for Combining Different Forecasting Models

DOI10.1080/02664760701231633zbMath1156.62351OpenAlexW1993928054MaRDI QIDQ3604103

Haritini Tsangari

Publication date: 24 February 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760701231633

zbMATH Keywords

neural networkscombination methodsGARCH modelsnonparametric methodsheteroskedasticitykernel regression forecasting criteria

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Neural nets and related approaches to inference from stochastic processes (62M45)

Uses Software

• R
• S-PLUS
• SAS/ETS

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