Quantifying prediction uncertainty for functional-and-scalar to functional autoregressive models under shape constraints
type: Item
instance of: scholarly article
title: Quantifying prediction uncertainty for functional-and-scalar to functional autoregressive models under shape constraints
zbMATH Open document ID: 1416.62408
author: Jacopo Rossini
author: Antonio Canale
published in: Journal of Multivariate Analysis
publication date: 2019-03-21T00:00:00Z
full work available at URL: http://hdl.handle.net/11577/3288712
review text: Demand and supply time series forecasting in energy markets is of course a hot topic both in energy economics and engineering, see, e.g. [\textit{D. N. Sidorov} et al., Izv. Irkutsk. Gos. Univ., Ser. Mat. 26, 76--90 (2018; Zbl 1409.45003)]. This paper proposes the novel moving block bootstrap procedure generating several bootstrap forecasts which gives useful indications as to the possible trajectory of the future curve. Point-wise confidence intervals can be plotted from these trajectories. Taking into account such bootstrap trajectories, the resulting forecasting model can benefit from the ensembling of many predictions, similarly to how random forest works, see [\textit{A. V. Zhukov} and \textit{D. N. Sidorov}, Vestn. Yuzhno-Ural. Gos. Univ., Ser. Mat. Model. Program. 9, No. 4, 86--95 (2016; Zbl 1442.68210)].
Mathematics Subject Classification ID: 62J07
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62G09
Mathematics Subject Classification ID: 62G15
zbMATH DE Number: 7040017
zbMATH Keywords: demand and offer model
zbMATH Keywords: functional bootstrap
zbMATH Keywords: functional ridge regression
reviewed by: Denis Sidorov
describes a project that uses: R
describes a project that uses: ElemStatLearn
describes a project that uses: bootstrap
describes a project that uses: mctoolbox
describes a project that uses: fda (R)
describes a project that uses: KernSmooth
MaRDI profile type: Publication
OpenAlex ID: W2898196273
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Wikidata QID: Q129035072
DOI: 10.1016/J.JMVA.2018.10.007
description: scientific article; zbMATH DE number 7040017