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Author: Liudas Giraitis Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially weighted moving averages, known to be robust to historical structural change, are found to be also useful in the presence of ongoing structural change in the forecast period. A crucial issue is how to select the degree of downweighting, usually defined by an arbitrary tuning parameter. We make this choice data dependent by minimizing forecast mean square error, and provide a detailed theoretical analysis of our proposal. Monte Carlo results illustrate the methods. We examine their performance on 191 UK and US macro series. Forecasts using data-based tuning of the data discount rate are shown to perform well.
Author: Liudas Giraitis Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially weighted moving averages, known to be robust to historical structural change, are found to be also useful in the presence of ongoing structural change in the forecast period. A crucial issue is how to select the degree of downweighting, usually defined by an arbitrary tuning parameter. We make this choice data dependent by minimizing forecast mean square error, and provide a detailed theoretical analysis of our proposal. Monte Carlo results illustrate the methods. We examine their performance on 191 UK and US macro series. Forecasts using data-based tuning of the data discount rate are shown to perform well.
Author: Jan Beran Publisher: Springer ISBN: 3319031228 Category : Business & Economics Languages : en Pages : 506
Book Description
The purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research and to build a bridge between theoretical developments in these areas and their application in practice. Accordingly, it covers broad topics in the theory and application of both empirical economic and financial research, including analysis of time series and the business cycle; different forecasting methods; new models for volatility, correlation and of high-frequency financial data and new approaches to panel regression, as well as a number of case studies. Most of the contributions reflect the state-of-art on the respective subject. The book offers a valuable reference work for researchers, university instructors, practitioners, government officials and graduate and post-graduate students, as well as an important resource for advanced seminars in empirical economic and financial research.
Author: Antonio Di Crescenzo Publisher: MDPI ISBN: 3039217283 Category : Mathematics Languages : en Pages : 284
Book Description
Stochastic processes have wide relevance in mathematics both for theoretical aspects and for their numerous real-world applications in various domains. They represent a very active research field which is attracting the growing interest of scientists from a range of disciplines. This Special Issue aims to present a collection of current contributions concerning various topics related to stochastic processes and their applications. In particular, the focus here is on applications of stochastic processes as models of dynamic phenomena in research areas certain to be of interest, such as economics, statistical physics, queuing theory, biology, theoretical neurobiology, and reliability theory. Various contributions dealing with theoretical issues on stochastic processes are also included.
Author: Alexander Chudik Publisher: Emerald Group Publishing ISBN: 1802620613 Category : Business & Economics Languages : en Pages : 360
Book Description
The collection of chapters in Volume 43 Part A of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
Author: Dek Terrell Publisher: Emerald Group Publishing ISBN: 1789739594 Category : Business & Economics Languages : en Pages : 418
Book Description
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Author: Alexey Beskopylny Publisher: Springer Nature ISBN: 3031214323 Category : Technology & Engineering Languages : en Pages : 3287
Book Description
The book contains proceedings of the XV International Scientific Conference INTERAGROMASH 2022, Rostov-on-Don, Russia. The agro-industrial complex is the most extensive and vital industry. It is rapidly developing by introducing the latest technologies and automating various processes necessary for the functioning of this area. The book is dedicated to engineering technologies of precision farming and agricultural robotics. It includes studies on natural resources variability, sustainable soil management, Agro Big Data, Internet of Things, software and mobile apps for precision agriculture, smart weather for precision agriculture, simulations models and decision support systems, expert systems, DGPS, soil physical and chemical characteristic sensors, machinery, etc. Different types of agricultural robots are presented in the book: autonomous fruit picking robots, farming bots that can seed and water plants, test the soil and remove weeds, completely autonomous robot for ecological and economical ultra-high precision spraying and weeding, harvesting robots with the special vision systems that can “see” fruits and understand whether they're ripe and ready to pick, and others. Also, the book covers advances in agricultural biotechnology in such areas of research as crop production improvement practices, genetic modification, as well as microbial biotechnology in agriculture, etc. The book is aimed for scientists, researchers, and graduate students. It is also useful for representatives of regional authorities, as it gives an idea of existing high-tech solutions for agriculture. The book is written and edited by international researchers, academics, and experts in the corresponding research areas.
Author: Liudas Giraitis
Author: Liudas Giraitis
Author: Liudas Giraitis
Author: Jan Beran
Author: Antonio Di Crescenzo
Author: Alexander Chudik
Author: Dek Terrell
Author: Alexey Beskopylny
Author: Nicolas Woloszko
Author: 
Author: George W. Evans