Selection between models through multi-step-ahead forecasting
نویسندگان
چکیده
منابع مشابه
Selection Between Models Through Multi-Step-Ahead Forecasting
We develop and show applications of two new test statistics for deciding if one ARIMA model provides significantly better h-step-ahead forecasts than another, as measured by the difference of approximations to their mean square forecast error. The two statistics differ in the variance estimates used for normalization. Both variance estimates are consistent even when the models considered are in...
متن کاملBeyond One-Step-Ahead Forecasting: Evaluation of Alternative Multi-Step-Ahead Forecasting Models for Crude Oil Prices
Note: This preprint copy is only for personal use.
متن کاملWavelets in Multi-step-ahead Forecasting
This paper investigates the possibility of obtaining long-into-the-future reliable forecasts of observed nonlinear cyclical phenomena. Unsmoothed monthly sunspot numbers that are characteristically cyclical with nonlinear dynamics as well as their wavelet-transformed and wavelet-denoised series are forecasted through October 2008. The objective is to determine whether modelling wavelet-conversi...
متن کاملMulti-step ahead predictors of SETARMA models
The generation and the properties of the multi-step point predictors of the Self Exciting Threshold AutoRegressive Moving Average model has been examined. In the first part we focus the attention on the main properties of this class of models and on their different representations that can be derived extending, to the non linear case, some well know results given in Box and Jenkins (1976). Star...
متن کاملOne step ahead forecasting using
When dealing with time series the one step ahead forecasting problem based on experimental data is the problem of estimating the autoregression function of the underlying process When minimizing the expected forecast ing error is the main goal the exible approach has to be used to be able to adjust the complexity of the model to the complexity of the data Multilay ered perceptrons are a popular...
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: Journal of Statistical Planning and Inference
سال: 2010
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2010.04.032