Forecasting with missing data: application to coastal wave heights

Article Abstract:

A comparative analysis was conducted to evaluate linear and mixed econometric models to develop short-term forecasts for a real data series with a significantly large percentage of missing data. The data series involved a series of significant wave heights registered every three hours by a buoy in the Bay of Biscay. The final model proposed to forecast significant wave height in the short-term is a mixed model where the AR(16) was fitted to the linear part, free from then cyclic behavior of the series.

Econometrics & Model Building, Usage, Econometrics, Mathematical models, Multivariate analysis, Business models

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The usefulness of heuristic N(E)RLS alogorithms for combining forecasts

Article Abstract:

Computationally simple heuristic algorithms demonstrate similar performance with the optimizing algorithms in estimating Non-negativity Restricted Least Squares combinations models. In long fit data sets, heuristic algorithms produced an insignificant ex ante period proportion of 0.28% when compared with optimizing algorithms. In extreme short fit data sets, some heuristic algorithms produced significant efficiency losses.

Research and Development in the Physical, Engineering, and Life Sciences, Mathematics, Algorithms, Heuristic programming

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