搜索结果: 1-15 共查到“知识库 理论统计学 forecasting”相关记录15条 . 查询时间(0.024 秒)
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging
2016/1/25
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Comparison of nonhomogeneous regression models for probabilistic wind speed forecasting
Comparison nonhomogeneous regression models probabilistic wind speed forecasting
2013/6/14
In weather forecasting, nonhomogeneous regression is used to statistically postprocess forecast ensembles in order to obtain calibrated predictive distributions. For wind speed forecasts, the regressi...
Probabilistic wind speed forecasting using Bayesian model averaging with truncated normal components
Bayesian model averaging continuous ranked probability score ensemble calibration truncated normal distribution
2013/6/13
Bayesian model averaging (BMA) is a statistical method for post-processing forecast ensembles of atmospheric variables, obtained from multiple runs of numerical weather prediction models, in order to ...
Markov Switching Component ARCH Model: Stability and Forecasting
ARCH models Markov process Stability Component GARCH models Forecasting Bayesian inference Griddy Gibbs sampling
2013/4/28
This paper introduces an extension of the Markov switching ARCH model where the volatility in each state is a convex combination of two different ARCH components with time varying weights with differe...
Probabilistic temperature forecasting with statistical calibration in Hungary
Probabilistic temperature forecasting with statistical calibration in Hungary
2013/4/27
Weather forecasting is mostly based on the outputs of deterministic numerical weather forecasting models. Multiple runs of these models with different initial conditions result in forecast ensembles w...
Finite sample forecasting with estimated temporally aggregated linear processes
linearmodels ARMA temporal aggregation forecasting finite sample forecasting flow temporal aggregation stock temporal aggregation multistep forecasting
2012/11/22
We propose a finite sample based predictor for estimated linear one dimensional time series models and compute the associated total forecasting error. The expression for the error that we present take...
Parametric inference and forecasting in continuously invertible volatility models
Invertibility volatility models parametric estimation
2011/7/6
We introduce the notion of continuously invertible volatility models that relies on some Lyapunov condition and some regularity condition.
Estimating and forecasting partially linear models with non stationary exogeneous variables
-mixing additive models backtting electricity consumption forecasting interval semipara-metric regression smoothing
2011/3/24
This paper presents a backfitting-type method for estimating and forecasting a periodically correlated partially linear model with exogeneous variables and heteroskedastic input noise. A rate of conve...
Estimating and forecasting partially linear models with non stationary exogeneous variables
-mixing additive models backfitting electricity consumption forecasting interval semipara-metric regression smoothing
2011/3/23
This paper presents a backfitting-type method for estimating and forecasting a periodically correlated partially linear model with exogeneous variables and heteroskedastic input noise. A rate of conve...
Bayesian Forecasting of Prepayment Rates for Individual Pools of Mortgages
mortgages prepayment rates MBS pricing Bayesian forecasting
2009/9/22
This paper proposes a novel approach for modeling prepayment rates
of individual pools of mortgages.The model incorporates the empirical evidence
that prepayment is past dependent via Bayesian metho...
Consistency of support vector machines for forecasting the evolution of an unknown ergodic dynamical system from observations with unknown noise
Observational noise model forecasting dynamical systems support vector machines consistency
2010/4/30
We consider the problem of forecasting the next (observable)
state of an unknown ergodic dynamical system from a noisy observation
of the present state. Our main result shows, for example, that
sup...
On a conjectured sharpness principle for probabilistic forecasting with calibration
sharpness principle probabilistic forecasting calibration
2010/3/18
This note proves a weak type of the sharpness principle as conjectured
by Gneiting, Balabdaoui, and Raftery [9] in connection with probabilistic
forecasting subject to calibration constraints. A str...
Probabilistic quantitative precipitation field forecasting using a two-stage spatial model
Discrete-continuous distribution ensemble forecast Gammadistribution latent Gaussian process numerical weather prediction
2010/3/17
Short-range forecasts of precipitation fields are needed in a wealth
of agricultural, hydrological, ecological and other applications. Forecasts
from numerical weather prediction models are often bi...
Forecasting the CATS benchmark with the Double Vector Quantization method
Time Series prediction CATS competition Double Vector Quantization method
2010/4/27
The Double Vector Quantization method, a long-term forecasting method based
on the SOM algorithm, has been used to predict the 100 missing values of the
CATS competition data set. An analysis of the...
Forecasting unstable processes
unit root unstable process adaptive forecast direct forecast plug-inforecast strong convergence
2010/4/27
Previous analysis on forecasting theory either assume knowing the
true parameters or assume the stationarity of the series. Not much are known
on the forecasting theory for nonstationary process wit...