High-dimensional Holt-Winters trend model: Fast estimation and prediction.
Giacomo SbranaPublished in: J. Oper. Res. Soc. (2021)
Keyphrases
- high dimensional
- probabilistic model
- prediction model
- formal model
- high level
- kalman filter
- estimation algorithm
- conceptual model
- neural network
- computational model
- parameter estimation
- experimental data
- mathematical model
- gene expression data
- parameter space
- neural network model
- objective function
- prediction algorithm
- financial time series