Correcting and combining time series forecasters

DOI10.1016/J.NEUNET.2013.10.008zbMATH Open1298.62150OpenAlexW2091409464WikidataQ39313779 ScholiaQ39313779MaRDI QIDQ470161FDOQ470161

Authors: Paulo Renato A. Firmino, Paulo S. G. de Mattos Neto, Tiago A. E. Ferreira 

Publication date: 12 November 2014

Published in: Neural Networks (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.neunet.2013.10.008

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zbMATH Keywords

maximum likelihood estimationartificial neural networks hybrid systemslinear combination of forecaststime series forecastersunbiased forecasters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Neural nets and related approaches to inference from stochastic processes (62M45)

Cites Work

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• Inference with the lognormal distribution
• A GMM procedure for combining volatility forecasts
• Maximum likelihood Bayesian averaging of uncertain model predictions
• Regression neural network for error correction in foreign exchange forecasting and trading.
• Neural networks approach to the random walk dilemma of financial time series
• A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates
• A simulation study of artificial neural networks for nonlinear time-series forecasting

Cited In (5)

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• Combining time series forecasting methods for Internet traffic
• Time Series Models for Forecasting: Testing or Combining?
• Title not available (Why is that?)

Uses Software

• R
• forecast
• Genocop
• Forecast
• TSA

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