Multivariate time series prediction using a hybridization of VARMA models and Bayesian networks

DOI10.1080/02664763.2016.1155111OpenAlexW2328299249MaRDI QIDQ5138225FDOQ5138225

Authors:

Publication date: 3 December 2020

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

Full work available at URL: https://doi.org/10.1080/02664763.2016.1155111

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zbMATH Keywords

Bayesian networkshybrid modelsK-means clusteringvector autoregressive moving average modelsmultivariate time series forecasting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cites Work

• Estimating the dimension of a model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Time series forecasting using a hybrid ARIMA and neural network model
• Title not available (Why is that?)
• Selection of the order of an autoregressive model by Akaike's information criterion
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Title not available (Why is that?)
• A Criterion for Determining the Number of Groups in a Data Set Using Sum-of-Squares Clustering
• Testing and Modeling Multivariate Threshold Models
• Learning Bayesian network parameters under incomplete data with domain knowledge
• The EM algorithm for graphical association models with missing data
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• Analysis of financial time series
• A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction

Cited In (6)

• A dual-topological graph memory network for anti-noise multivariate time series forecasting
• Multivariate time series analysis from a Bayesian machine learning perspective
• Multivariate Bayesian structural time series model
• Time series forecasting model based on weighted variable structure
• The adaptive-clustering and error-correction method for forecasting cyanobacteria blooms in lakes and reservoirs
• A robust model structure selection method for small sample size and multiple datasets problems

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