Weakly convergent nonparametric forecasting of stationary time series.
Gusztáv MorvaiSidney YakowitzPaul H. AlgoetPublished in: IEEE Trans. Inf. Theory (1997)
Keyphrases
- non stationary
- financial time series
- weather forecasting
- forecasting accuracy
- change point detection
- exponential smoothing
- box jenkins
- arma model
- chaotic time series
- stock market
- hybrid model
- forecasting model
- autoregressive
- data driven
- short term
- moving average
- arima model
- autoregressive model
- garch model
- exchange rate
- support vector regression
- stock price
- random fields
- bp neural network
- mackey glass
- load forecasting
- bayesian modeling
- turning points
- neural network
- nonparametric regression
- prediction model
- foreign exchange
- subsequence matching
- financial data
- multivariate time series
- sequential data
- symbolic representation
- temporal patterns
- dynamic time warping
- phase space reconstruction
- neural network model
- learning algorithm
- chronic hepatitis
- data sets
- short term prediction