Multi-step forecasts from threshold ARMA models using asymmetric loss functions

DOI10.1007/S10260-007-0044-XMaRDI QIDQ635899zbMATH OpenOpenAlexFDO

Authors Marcella Niglio

Publication date 25 August 2011

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-007-0044-x

zbMATH Keywords

general loss functionslinexnonlinear predictionSETARMA

Mathematics Subject Classification ID

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

Recommendations

• Least squares predictors for threshold models: properties and forecast evaluation
• Properties of optimal forecasts under asymmetric loss and nonlinearity
• Forecasting with Multivariate Threshold Autoregressive Models
• Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
• Threshold structures in economic and financial time series

Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• Conditional Minimum Volume Predictive Regions for Stochastic Processes
• Decision-based methods for forecast evaluation
• Estimation and Testing of Forecast Rationality under Flexible Loss
• Nonlinear time series. Nonparametric and parametric methods
• On threshold moving-average models
• Prediction with a Generalized Cost of Error Function
• Testing Forecast Optimality Under Unknown Loss
• The moments of SETARMA models

Cited in

(2)

• Fitting of self-exciting threshold autoregressive moving average nonlinear time-series model through genetic algorithm and development of out-of-sample forecasts
• Least squares predictors for threshold models: properties and forecast evaluation

This page was built for publication: Multi-step forecasts from threshold ARMA models using asymmetric loss functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q635899)