Exponentially weighted information criteria for selecting among forecasting models
نویسندگان
چکیده
منابع مشابه
Exponentially Weighted Information Criteria for Selecting Among Forecasting Models
Information criteria (IC) are often used to select between forecasting models. Commonly used criteria are Akaike’s IC and Schwarz’s Bayesian IC. They involve the sum of two terms: the model’s log likelihood and a penalty for the number of model parameters. The likelihood is calculated with equal weight given to all observations. We propose that greater weight should be put on more recent observ...
متن کاملConditional information criteria for selecting variables in linear mixed models
In this paper, we consider the problem of selecting the variables of the fixed effects in the linear mixed models where the random effects are present and the observation vectors have been obtained frommany clusters. As the variable selection procedure, we here use the Akaike Information Criterion, AIC. In the context of the mixed linear models, two kinds of AIC have been proposed: marginal AIC...
متن کاملForecasting daily supermarket sales using exponentially weighted quantile regression
Inventory control systems typically require the frequent updating of forecasts for many different products. In addition to point predictions, interval forecasts are needed to set appropriate levels of safety stock. The series considered in this paper are characterised by high volatility and skewness, which are both time-varying. These features motivate the consideration of forecasting methods t...
متن کاملSelecting Essential Information for Biosurveillance—A Multi-Criteria Decision Analysis
The National Strategy for Biosurveillance defines biosurveillance as "the process of gathering, integrating, interpreting, and communicating essential information related to all-hazards threats or disease activity affecting human, animal, or plant health to achieve early detection and warning, contribute to overall situational awareness of the health aspects of an incident, and to enable better...
متن کاملExponentially Weighted Methods for Forecasting Intraday Time Series with Multiple Seasonal Cycles
This paper introduces five new univariate exponentially weighted methods for forecasting intraday time series that consist of both intraweek and intraday seasonal cycles. Applications of relevance include forecasting volumes of call centre arrivals, transportation, e-mail traffic and electricity load. The first method that we develop extends an exponential smoothing formulation that has been us...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2008
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2008.06.003