Search Results - subject:"Multivariate Time Series"

Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches

Silva, Ashton J de - Volkswirtschaftliche Fakultät, … - 2010

Innovations state space time series models that encapsulate the exponential smoothing methodology have been shown to be an accurate forecasting tool. These models for the first time are applied to Australian macroeconomic data. In addition new multivariate specifications are outlined and...

Persistent link: https://www.econbiz.de/10008765099

Nonparametric modeling and forecasting electricity demand: an empirical study

Shang, Han Lin - Department of Econometrics and Business Statistics, … - 2010

This paper uses half-hourly electricity demand data in South Australia as an empirical study of nonparametric modeling and forecasting methods for prediction from half-hour ahead to one year ahead. A notable feature of the univariate time series of electricity demand is the presence of both...

Persistent link: https://www.econbiz.de/10008725785

МОДИФИКАЦИЯ МНОГОМЕРНОГО АЛГОРИТМА ЛЕВИНСОНА

ВЛАДИМИРОВИЧ, КЛИМЧЕНКО … - In: Проблемы управления (2009) 3, pp. 2-7

Исследованы зависимости между ковариационными матрицами, вычисляемыми в процессе многомерной рекурсии Левинсона. Показано, что учет выявленных взаимосвязей...

Persistent link: https://www.econbiz.de/10011238351

Piecewise aggregate representations and lower-bound distance functions for multivariate time series

Li, Hailin - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 10-25

applied to the field of multivariate time series data mining. Due to multivariate time series with the variable-based and time … represent a multivariate time series so that the new sequence can be seen as a univariate time series. Thus two sophisticated … can be avoided when they are used to index the time series. In addition, multivariate time series with different lengths …

Persistent link: https://www.econbiz.de/10011209687

Copula modelling of dependence in multivariate time series

Smith, Michael S. - In: International journal of forecasting 31 (2015) 3, pp. 815-833

Persistent link: https://www.econbiz.de/10011474586

Selecting volatility forecasting models for portfolio allocation purposes

Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861

Persistent link: https://www.econbiz.de/10011474597

Multivariate time series modeling, estimation and prediction of mortalities

Ekheden, Erland; Hössjer, Ola - In: Insurance / Mathematics & economics 65 (2015), pp. 156-171

Persistent link: https://www.econbiz.de/10011428648

Forecasting multivariate time series with the Theta method

Thomakos, Dimitrios D.; Nikolopoulos, Konstantinos - In: Journal of forecasting 34 (2015) 3, pp. 220-229

Persistent link: https://www.econbiz.de/10011305253

Tracking economic activity in the euro area : multivariate direct filter approach

Buss, Ginters - In: Journal of business cycle measurement and analysis : a … (2014) 2, pp. 5-23

Persistent link: https://www.econbiz.de/10011922946

Managing financial risk in Chinese stock markets : option pricing and modeling under a multivariate threshold autoregression

Li, Johnny Siu-Hang; Ng, Andrew C.Y.; Chan, Wai-Sum - In: International review of economics & finance : IREF 40 (2015), pp. 217-230

Persistent link: https://www.econbiz.de/10011573584