Generative exponential smoothing and generative ARMA models to forecast time-variant rates or probabilities

DOI10.1007/978-3-319-28725-6_6zbMATH Open1366.62176OpenAlexW2509720296MaRDI QIDQ5280126FDOQ5280126

Authors: Edgar Kalkowski, Bernhard Sick 

Publication date: 20 July 2017

Published in: Time Series Analysis and Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-28725-6_6

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zbMATH Keywords

time series forecastingARMAgenerative modelsexponential smoothing

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

• Introduction to Time Series and Forecasting
• Pattern recognition and machine learning.
• Time-Series Forecasting
• Title not available (Why is that?)
• An essay towards solving a problem in the doctrine of chances. By the late Rev. Mr. Bayes, F. R. S. communicated by Mr. Price, in a letter to John Canton, A. M. F. R. S.
• Prior Probabilities
• Recursive estimation of mixed autoregressive-moving average order
• The context-tree weighting method: basic properties
• Generative exponential smoothing and generative ARMA models to forecast time-variant rates or probabilities

Cited In (3)

• Probabilistic evaluation of time series models: a comparison of several approaches
• Probabilistic Time Series Forecasts with Autoregressive Transformation Models
• Generative exponential smoothing and generative ARMA models to forecast time-variant rates or probabilities

Uses Software

• itsmr
• PRMLT

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