Modern Strategies for Time Series Regression

DOI10.1111/INSR.12432arXiv2010.15997OpenAlexW3110869685MaRDI QIDQ6089484FDOQ6089484

Author name not available (Why is that?), Rob J. Hyndman, Dan Pagendam, Louise M. Ryan

Publication date: 15 December 2023

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

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.

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)

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Cited In (1)

• Kalman recursions aggregated online

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