Robustify financial time series forecasting with bagging
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Publication:5080461
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 5056239 (Why is no real title available?)
- Analyzing bagging
- Automatic Block-Length Selection for the Dependent Bootstrap
- Bagging binary and quantile predictors for time series
- Bagging predictors
- COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
- Data-driven bandwidth choice for density estimation based on dependent data
- Handbook of economic forecasting. Volume 1
- Heuristics of instability and stabilization in model selection
- How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
- Least-squares forecast averaging
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- On bagging and nonlinear estimation
- Uniform convergence rates of kernel estimators with heterogeneous dependent data
Cited in
(10)- Jackknife model averaging for quantile regressions
- Bagging binary and quantile predictors for time series
- The benefits of bagging for forecast models of realized volatility
- Jackknife model averaging for composite quantile regression
- Penalized Mallow’s model averaging
- Time-varying model averaging
- A semiparametric generalized ridge estimator and link with model averaging
- Bootstrap Type-1 Fuzzy Functions Approach for Time Series Forecasting
- Exploring the sources of uncertainty: why does bagging for time series forecasting work?
- How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
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