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| Author | : Joannes Gerardus Gooijer |
| Publisher | : |
| Total Pages | : 13 |
| Release | : 1992 |
| Genre | : |
| ISBN | : |
| Author | : Ana Jesus Lopez-Menendez |
| Publisher | : MDPI |
| Total Pages | : 200 |
| Release | : 2020-12-29 |
| Genre | : Technology & Engineering |
| ISBN | : 3039364871 |
This book shows the potential of entropy and information theory in forecasting, including both theoretical developments and empirical applications. The contents cover a great diversity of topics, such as the aggregation and combination of individual forecasts, the comparison of forecasting performance, and the debate concerning the tradeoff between complexity and accuracy. Analyses of forecasting uncertainty, robustness, and inconsistency are also included, as are proposals for new forecasting approaches. The proposed methods encompass a variety of time series techniques (e.g., ARIMA, VAR, state space models) as well as econometric methods and machine learning algorithms. The empirical contents include both simulated experiments and real-world applications focusing on GDP, M4-Competition series, confidence and industrial trend surveys, and stock exchange composite indices, among others. In summary, this collection provides an engaging insight into entropy applications for forecasting, offering an interesting overview of the current situation and suggesting possibilities for further research in this field.
| Author | : Jen-Che Liao |
| Publisher | : |
| Total Pages | : 54 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
This paper proposes frequentist multiple-equation least squares averaging approaches for multi-step forecasting with vector autoregressive (VAR) models. The proposed VAR forecasting averaging methods are based on the multivariate Mallows model averaging (MMMA) and multivariate leave-h-out cross-validation averaging (MCVAh) criteria (with h denoting the forecast horizon), which are valid for iterative and direct multi-step forecasting averaging, respectively. Under the framework of stationary VAR processes of infinite order, we provide theoretical justifications by establishing asymptotic unbiasedness and asymptotic optimality of the proposed forecasting averaging approaches. Specifically, MMMA exhibits asymptotic optimality for one-step ahead forecast averaging, whereas for direct multi-step forecasting averaging the asymptotically optimal combination weights are determined separately for each forecast horizon based on the MCVAh procedure. The finite-sample behaviour of the proposed averaging procedures under misspecification is investigated via simulation experiments. An empirical application to a three-variable monetary VAR, based on the U.S. data, is also provided to present our methodology.
| Author | : |
| Publisher | : |
| Total Pages | : 286 |
| Release | : 1996 |
| Genre | : Egypt |
| ISBN | : |
| Author | : Taku Yamamoto |
| Publisher | : |
| Total Pages | : 29 |
| Release | : 1975 |
| Genre | : Regression analysis |
| ISBN | : |
| Author | : Chinese Institute of Command and Control |
| Publisher | : Springer Nature |
| Total Pages | : 944 |
| Release | : 2022-08-29 |
| Genre | : Technology & Engineering |
| ISBN | : 9811960526 |
This book includes original, peer-reviewed research papers from the 2022 10th China Conference on Command and Control (C2 2022), held in Beijing, China on July 7-9, 2022. The topics covered include but are not limited to: Theories, Modelling and Simulation, System Engineering Technology for Intelligent Command and Control, 5G and Intelligent Command, Control and Management Integration Technology, Joint Cooperative Command and Control Organization Management, Agility in the Network Age, Cyberspace Situational Awareness Technology, CPS Parallel Management and Control、Unmanned Systems, Intelligent Military Camp Technology, Architecture Design for Intelligent Air Traffic Control System, Human-Machine Interaction and Virtual Reality, Swarm Intelligence and Cooperative Control, Intelligent Gaming Theory and Technology.The papers showcased here share the latest findings on theories, algorithms and applications in command and control, making the book a valuable asset for researchers, engineers, and university students alike.
| Author | : Anders Milhoj |
| Publisher | : SAS Institute |
| Total Pages | : 210 |
| Release | : 2016-01-11 |
| Genre | : Computers |
| ISBN | : 162959749X |
Aimed at econometricians who have completed at least one course in time series modeling, this comprehensive book will teach you the time series analytical possibilities that SAS offers today. --
| Author | : |
| Publisher | : |
| Total Pages | : 596 |
| Release | : 1992-06-26 |
| Genre | : Economics |
| ISBN | : |
| Author | : Eric Zivot |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 632 |
| Release | : 2013-11-11 |
| Genre | : Business & Economics |
| ISBN | : 0387217630 |
The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
| Author | : Marcus J. Chambers |
| Publisher | : |
| Total Pages | : |
| Release | : 1990 |
| Genre | : Economics |
| ISBN | : |
