Multi-step estimators and shrinkage effect in time series models

DOI10.1007/S00180-023-01377-XMaRDI QIDQ6567443FDO

Authors Ivan Svetunkov, Nikolaos Kourentzes, Rebecca Killick

Publication date 5 July 2024

Published in Computational Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

ARIMAshrinkagetime series analysisETSmulti-step estimators

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites work

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• Multistep prediction in autoregressive processes
• Note on the Consistency of the Maximum Likelihood Estimate
• Robustness of maximum likelihood estimates for multi-step predictions: The exponential smoothing case
• When are direct multi-step and iterative forecasts identical?

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