Likelihood-based inference in temporal hierarchies
Year of publication: |
2024
|
---|---|
Authors: | Møller, Jan Kloppenborg ; Nystrup, Peter ; Madsen, Henrik |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 40.2024, 2, p. 515-531
|
Subject: | Dimensionality reduction | Forecast reconciliation | Hypothesis testing | Load forecasting | Maximum likelihood estimation | Statistical modelling | Variance–covariance shrinkage | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Statistischer Test | Statistical test | Zeitreihenanalyse | Time series analysis |
-
Robust inference under time-varying volatility : a real-time evaluation of professional forecasters
Demetrescu, Matei, (2022)
-
Suvorin, Vadim, (2011)
-
Dufour, Jean-Marie, (2014)
- More ...
-
Probabilistic forecasts of wind power generation by stochastic differential equation models
Kloppenborg Møller, Jan, (2016)
-
Regime-based versus static asset allocation : letting the data speak
Nystrup, Peter, (2015)
-
Long memory of financial time series and hidden Markov models with time‐varying parameters
Nystrup, Peter, (2017)
- More ...