Search Results - subject:"Automatic forecasting"

Algoritmic trading system based on state model for moving average in a binary-temporal representation

Stasiak, Michał Dominik - In: Risks : open access journal 10 (2022) 4, pp. 1-15

One of the most basic methods of technical analysis that is used in the practice of investment is the analysis of moving averages, usually calculated for exchange rates in a candlestick representation. The following paper proposes a new, state model, describing the process of trajectory changes...

Persistent link: https://www.econbiz.de/10013357257

Some forecasting principles from the M4 competition

Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F. - 2019

Persistent link: https://www.econbiz.de/10012492555

Forecasting using robust exponential smoothing with damped trend and seasonal components

Crevits, Ruben; Croux, Christophe - 2017

Persistent link: https://www.econbiz.de/10011799035

Macroeconomic Forecasts in Models with Bayesian Averaging of Classical Estimates

Białowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - In: Contemporary Economics 6 (2012) 1, pp. 60-69

The aim of this paper is to construct a forecasting model oriented on predicting basic macroeconomic variables, namely: the GDP growth rate, the unemployment rate, and the consumer price inflation. In order to select the set of the best regressors, Bayesian Averaging of Classical Estimators...

Persistent link: https://www.econbiz.de/10010436074

Automatic forecasting with a modified exponential smoothing state space framework

Livera, Alysha M De - Department of Econometrics and Business Statistics, … - 2010

A new automatic forecasting procedure is proposed based on a recent exponential smoothing framework which incorporates … alternative to existing automatic forecasting procedures in modeling single seasonal and non-seasonal time series. In addition, it … existing automatic forecasting procedures. The proposed automatic procedure is further illustrated by applying it to two …

Persistent link: https://www.econbiz.de/10008467331

Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals

Kim, Jae H.; Song, Haiyang; Wong, Kevin; … - Department of Econometrics and Business Statistics, … - 2008

This paper evaluates the performance of prediction intervals generated from alternative time series models, in the context of tourism forecasting. The forecasting methods considered include the autoregressive (AR) model, the AR model using the bias-corrected bootstrap, seasonal ARIMA models,...

Persistent link: https://www.econbiz.de/10005581119

Dynamics of expert adjustment to model-based forecast

Franses, Ph.H.B.F.; Legerstee, R. - Erasmus University Rotterdam, Econometric Institute - 2007

Experts often add domain knowledge to model-based forecasts while aiming to reduce forecast errors. Indeed, there is some empirical evidence that expert-adjusted forecasts improve forecast quality. However, surprisingly little is known about what experts actually do. Based on a large and...

Persistent link: https://www.econbiz.de/10005504983

Dynamics of expert adjustment to model-based forecast

Franses, Philip Hans; Legerstee, Legerstee, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

Persistent link: https://www.econbiz.de/10010731709

Automatic time series forecasting: the forecast package for R.

Hyndman, Rob J.; Khandakar, Yeasmin - Department of Econometrics and Business Statistics, … - 2007

describe two automatic forecasting algorithms that have been implemented in the forecast package for R. The first is based on …

Persistent link: https://www.econbiz.de/10005149030

A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods.

Hyndman, R.J.; Koehler, A.B.; Snyder, R.D.; Grose, S. - Department of Econometrics and Business Statistics, … - 2000

We provide a new approach to automatic business forecasting based on an extended range of exponential smoothing methods. Each method in our taxonomy of exponential smoothing methods can be shown to be equivalent to the forecasts obtained from a state space model. This allows (1) the easy...

Persistent link: https://www.econbiz.de/10005427616