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timeseriesforecastingwithmultiplecandidatemodelsselectingorcombining
Yu Lean1; Wang Shouyang1; Lai K K2; Nakamori Y3
2005
Source Publicationjournalofsystemsscienceandcomplexity
ISSN1009-6124
Volume018Issue:001Pages:1
AbstractVarious mathematical models have been commonly used in time series analysis and forecasting. In these processes, academic researchers and business practitioners often come up against two important problems. One is whether to select an appropriate modeling approach for prediction purposes or to combine these different individual approaches into a single forecast for the different/dissimilar modeling approaches. Another is whether to select the best candidate model for forecasting or to mix the various candidate models with different parameters into a new forecast for the same/similar modeling approaches. In this study, we propose a set of computational procedures to solve the above two issues via two judgmental criteria. Meanwhile, in view of the problems presented in the literature, a novel modeling technique is also proposed to overcome the drawbacks of existing combined forecasting methods. To verify the efficiency and reliability of the proposed procedure and modeling technique, the simulations and real data examples are conducted in this study.The results obtained reveal that the proposed procedure and modeling technique can be used as a feasible solution for time series forecasting with multiple candidate models.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/36663
Collection系统科学研究所
Affiliation1.中国科学院数学与系统科学研究院
2.香港城市大学
3.北陆先端科学技术大学院大学
Recommended Citation
GB/T 7714
Yu Lean,Wang Shouyang,Lai K K,et al. timeseriesforecastingwithmultiplecandidatemodelsselectingorcombining[J]. journalofsystemsscienceandcomplexity,2005,018(001):1.
APA Yu Lean,Wang Shouyang,Lai K K,&Nakamori Y.(2005).timeseriesforecastingwithmultiplecandidatemodelsselectingorcombining.journalofsystemsscienceandcomplexity,018(001),1.
MLA Yu Lean,et al."timeseriesforecastingwithmultiplecandidatemodelsselectingorcombining".journalofsystemsscienceandcomplexity 018.001(2005):1.
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