Nonparametric time series forecasting with dynamic updating

DOI10.1016/j.matcom.2010.04.027zbMath1215.62098OpenAlexW2070074071WikidataQ58288614 ScholiaQ58288614MaRDI QIDQ543446

Rob Hyndman, Han Lin Shang

Publication date: 17 June 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.04.027

zbMATH Keywords

ridge regressionfunctional principal component analysispenalized least squaresfunctional time seriesseasonal time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Bayesian bandwidth estimation for a nonparametric functional regression model with unknown error density, A survey of functional principal component analysis, Forecasting functional time series using weighted likelihood methodology, Bootstrap methods for stationary functional time series, Functional time series approach for forecasting very short-term electricity demand, Intraday forecasts of a volatility index: functional time series methods with dynamic updating, Feature extraction for functional time series: theory and application to NIR spectroscopy data, On projection methods for functional time series forecasting

Uses Software

• R
• Rainbow
• MASS (R)
• forecast
• fda (R)
• Forecast
• expsmooth
• ftsa

Cites Work

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