Probabilistic evaluation of time series models: A comparison of several approaches

DOI10.1063/1.3271343zbMath1311.37062OpenAlexW2085099094WikidataQ39911443 ScholiaQ39911443MaRDI QIDQ5250392

David Engster, Ulrich Parlitz, Jochen Bröcker

Publication date: 19 May 2015

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.3271343

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Related Items (3)

Series-NonUniform Rational B-Spline (S-NURBS) model: A geometrical interpolation framework for chaotic data ⋮ Information theory, model error, and predictive skill of stochastic models for complex nonlinear systems ⋮ Waiting‐time estimation in walk‐in clinics

Cites Work

• On the convergence properties of the EM algorithm
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Elicitation of Personal Probabilities and Expectations

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