Probabilistic Time Series Forecasts with Autoregressive Transformation Models
From MaRDI portal
Publication:88049
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
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)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stationary vine copula models for multivariate time series
- The Bernstein polynomial basis: a centennial retrospective
- On the invertibility of time series models
- Distributional regression forests for probabilistic precipitation forecasting in complex terrain
- Transformation boosting machines
- Nonparametric Estimation of Conditional Distributions and Rank-Tracking Probabilities With Time-Varying Transformation Models in Longitudinal Studies
- Most Likely Transformations
- On a Mixture Autoregressive Model
- Inference on Counterfactual Distributions
- Probabilistic Forecasts, Calibration and Sharpness
- Conditional Transformation Models
- Multivariate conditional transformation models