Removing Forecasting Errors with White Gaussian Noise after Square Root Transformation

DOI10.1002/for.2407zbMath1365.62359OpenAlexW2306005663MaRDI QIDQ5270440

Ya-Di Liu, Jun Zhang, Xinshan Zhu, Zheng-Ling Yang, Xi Chen

Publication date: 23 June 2017

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2407

zbMATH Keywords

variancemathematical expectationnonstationary time serieswind speedshighway traffic flows

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Traffic problems in operations research (90B20) Meteorology and atmospheric physics (86A10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Prediction theory (aspects of stochastic processes) (60G25)

Uses Software

• TSA

Cites Work

• Nonlinear time series. Nonparametric and parametric methods
• A wavelet approach for factor-augmented forecasting
• Signal and Image Processing for Remote Sensing
• Adaptive modelling and forecasting of offshore wind power fluctuations with Markov‐switching autoregressive models
• Estimating and Forecasting APARCH‐Skew‐t Model by Wavelet Support Vector Machines
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