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

DOI10.1007/978-3-319-28725-6_6MaRDI QIDQ5280126zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4047369 (Why is no real title available?)
• 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.
• Generative exponential smoothing and generative ARMA models to forecast time-variant rates or probabilities
• Introduction to Time Series and Forecasting
• Pattern recognition and machine learning.
• Prior Probabilities
• Recursive estimation of mixed autoregressive-moving average order
• The context-tree weighting method: basic properties
• Time-Series Forecasting

Cited in

(3)

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

Describes a project that uses

Uses Software

• itsmr
• PRMLT

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