Forecasting daily time series using periodic unobserved components time series models.
Siem Jan KoopmanMarius OomsPublished in: Comput. Stat. Data Anal. (2006)
Keyphrases
- box jenkins
- weather forecasting
- autoregressive
- financial time series
- exponential smoothing
- moving average
- dynamic time warping
- building blocks
- non stationary
- probabilistic model
- garch model
- multivariate time series
- predictive model
- hybrid model
- stock market
- statistical models
- multivariate time series data
- arma model
- quasi periodic
- chronic hepatitis
- periodicity detection
- long term
- short term prediction
- arima model
- demand forecasting
- temporal dependencies
- forecasting model
- time stamped
- historical data
- random fields
- experimental data
- complex systems
- parameter estimation
- model selection