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The vector innovation structural times series framework: a simple approach to multivariate forecasting
De Silva, A; Hyndman, R; Snyder, R - 2010
The vector innovations structural time series framework is proposed as a way of modelling a set of related time series. As with all multivariate approaches, the aim is to exploit potential interseries dependencies to improve the fit and forecasts. The model is based around an unobserved vector...
Persistent link: https://www.econbiz.de/10009481626
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The vector innovation structural times series framework: a simple approach to multivariate forecasting
De Silva, A; Hyndman, R; Snyder, R - 2010
The vector innovations structural time series framework is proposed as a way of modelling a set of related time series. As with all multivariate approaches, the aim is to exploit potential interseries dependencies to improve the fit and forecasts. The model is based around an unobserved vector...
Persistent link: https://www.econbiz.de/10009481782
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Another look at measures of forecast accuracy
Hyndman, Rob J.; Koehler, Anne B. - In: International journal of forecasting 22 (2006) 4, pp. 679-688
Persistent link: https://www.econbiz.de/10003385851