Modern Strategies for Time Series Regression

DOI10.1111/INSR.12432MaRDI QIDQ6089484zbMATH OpenOpenAlexFDO

Authors Rob J. Hyndman, Dan Pagendam, Louise M. Ryan

Publication date 15 December 2023

Published in International Statistical Review (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.15997

zbMATH Keywords

ARIMAneural networkrecurrent neural networkdynamic regressionLSTMregARIMA

Mathematics Subject Classification ID

Statistics (62-XX) Artificial intelligence (68Txx) Inference from stochastic processes (62Mxx)

Abstract: This paper discusses several modern approaches to regression analysis involving time series data where some of the predictor variables are also indexed by time. We discuss classical statistical approaches as well as methods that have been proposed recently in the machine learning literature. The approaches are compared and contrasted, and it will be seen that there are advantages and disadvantages to most currently available approaches. There is ample room for methodological developments in this area. The work is motivated by an application involving the prediction of water levels as a function of rainfall and other climate variables in an aquifer in eastern Australia.

Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 6734253 (Why is no real title available?)
• Computer age statistical inference. Algorithms, evidence, and data science
• Data-driven forecasting of high-dimensional chaotic systems with long short-term memory networks
• Deep learning
• Deep learning with R
• Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
• Reg-ARIMA model identification: empirical evidence

Cited in

(1)

• Kalman recursions aggregated online

This page was built for publication: Modern Strategies for Time Series Regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6089484)