Weakly Convergent Nonparametric Forecasting of Stationary Time Series.
Gusztáv MorvaiSidney YakowitzPaul H. AlgoetPublished in: CoRR (2008)
Keyphrases
- non stationary
- financial time series
- weather forecasting
- forecasting accuracy
- change point detection
- arma model
- exponential smoothing
- box jenkins
- short term
- stock price
- data driven
- chaotic time series
- exchange rate
- hybrid model
- arima model
- turning points
- forecasting model
- moving average
- bayesian modeling
- bp neural network
- kernel density estimation
- mackey glass
- chronic hepatitis
- support vector regression
- short term prediction
- prediction model
- neural network model
- stock market
- nonparametric regression
- medium term
- helmholtz principle
- autoregressive integrated moving average
- hierarchical bayesian
- demand forecasting
- garch model
- dynamic time warping
- subsequence matching
- artificial neural networks
- electricity consumption
- random fields
- elman neural network
- temporal patterns
- autoregressive
- sequential data
- multivariate time series
- financial data
- abnormal patterns
- phase space reconstruction
- neural network
- foreign exchange