Probabilistic Time Series Forecasts with Autoregressive Transformation Models

DOI10.48550/arXiv.2110.08248zbMath1516.62028arXiv2110.08248OpenAlexW4319234957MaRDI QIDQ88049

David Rügamer, Philipp F. M. Baumann, Torsten Hothorn, Thomas Kneib, Philipp F. M. Baumann, Thomas Kneib, David Rügamer

Publication date: 15 October 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.08248

zbMATH Keywords

semiparametric modelsconditional density estimationnormalizing flowsdistributional regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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