Combination of forecasts using self-organizing algorithms
Article Abstract:
By combining different forecasting models in an appropriate way we can achieve forecast accuracy and improve overall performance of forecasts. Linear ones and nonlinear ones are the two methods for combining forecasting methods. Self-organizing combination forecasting method has improved the forecasting capability by using the information directly, unlike neural network method.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2005
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The multi-chain Markov switching model
Article Abstract:
A new multi-chain Markov switching model for forecasting is presented and examined. The transition probabilities of this model are qualified by the reliance on the regime of the other variables. Regime switching, multivariate time series, etc. are also discussed.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2005
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A note on in-sample and out-of-sample tests for Granger causality
Article Abstract:
In-sample and out-of-sample tests for Granger causality are studied with the help of Monte Carlo simulation. Out-of-sample tests are established as more potent and useful than in-sample tests.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2005
User Contributions:
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