Time-Series Analysis: Components, Models, and Forecasting

DOI10.1142/9789811202391_0026zbMATH Open1455.62203OpenAlexW3081482671MaRDI QIDQ5139425

Cheng-Few Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0026

zbMATH Keywords

mean squared errorexponential smoothingtime-series datacyclical componentseasonal componentcoincident indicatorscross-section dataleading indicatorsseasonal indexirregular componenttrend componentautoregressive forecasting modelexponential smoothing constantHolt-Winters forecasting modellagging indicatorspercentage of moving averageseasonal index methodtrading-day componenttrend-cycle componentX-11 model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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