Time-series analysis: components, models, and forecasting

DOI10.1142/9789811202391_0026MaRDI QIDQ5139425zbMATH OpenOpenAlexFDO

Authors Cheng-Few Lee

Publication date 9 December 2020

Published in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811202391_0026

zbMATH Keywords

autoregressive forecasting modelcoincident indicatorscross-section datacyclical componentexponential smoothingexponential smoothing constantHolt-Winters forecasting modelirregular componentlagging indicatorsleading indicatorsmean squared errorpercentage of moving averageseasonal componentseasonal indexseasonal index methodtime-series datatrading-day componenttrend componenttrend-cycle componentX-11 model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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