Correcting and combining time series forecasters

DOI10.1016/J.NEUNET.2013.10.008MaRDI QIDQ470161zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• scientific article; zbMATH DE number 867338 (Why is no real title available?)
• scientific article; zbMATH DE number 1392848 (Why is no real title available?)
• scientific article; zbMATH DE number 5223072 (Why is no real title available?)
• A GMM procedure for combining volatility forecasts
• 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
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Evolution strategies. A comprehensive introduction
• Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
• Generalized autoregressive conditional heteroscedasticity
• Inference with the lognormal distribution
• Maximum likelihood Bayesian averaging of uncertain model predictions
• Neural networks approach to the random walk dilemma of financial time series
• Regression neural network for error correction in foreign exchange forecasting and trading.
• Review of guidelines for the use of combined forecasts
• Stock and bond return predictability: the discrimination power of model selection criteria

Cited in

(5)

• Copulas-based time series combined forecasters
• Weighted moving averaging revisited: an algebraic approach
• Combining time series forecasting methods for Internet traffic
• Time Series Models for Forecasting: Testing or Combining?
• scientific article; zbMATH DE number 1489876 (Why is no real title available?)

Describes a project that uses

Uses Software

• TSA
• Forecast
• Genocop
• forecast
• R

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