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Finite sample forecasting with estimated temporally aggregated linear processes
linearmodels ARMA temporal aggregation forecasting finite sample forecasting flow temporal aggregation stock temporal aggregation multistep forecasting
2012/11/22
We propose a finite sample based predictor for estimated linear one dimensional time series models and compute the associated total forecasting error. The expression for the error that we present take...
A Hierarchical Model for Aggregated Functional Data
Bayes'theorem B-splines Covariance function Gaussian process
2011/3/21
In many areas of science one aims to estimate latent sub-population mean curves based only on observations of aggregated population curves. By aggregated curves we mean linear combination of functiona...
Approaches for Multi-step Density Forecasts with Application to Aggregated Wind Power
Non-Gaussian time series logistic transformation exponentialsmoothing truncated normal distribution ARIMA-GARCH model
2010/3/11
The generation of multi-step density forecasts for non-Gaussian
data mostly relies on Monte-Carlo simulations which are computa-
tionally intensive. Using aggregated wind power in Ireland, we study
...
Spectral Properties of Temporally Aggregated Long Memory Processes
Spectral Properties Memory Processes
2009/9/17
Spectral Properties of Temporally Aggregated Long Memory Processes。