Essays about: "state-switching"

Found 2 essays containing the word state-switching.

  1. 1. AUTOMATED OPTIMAL FORECASTING OF UNIVARIATE MONITORING PROCESSES : Employing a novel optimal forecast methodology to define four classes of forecast approaches and testing them on real-life monitoring processes

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Stanislav Razroev; [2019]
    Keywords : predictions; forecasting; optimal forecasting; forecast classes; optimality rules; ensemble forecasting; state switching; combinational forecasting; optimality framework; exponential smoothing; ARIMA; ARMA; SARIMA; Double-Seasonal Holt-Winters; time series; Wikipedia; Wikimedia; Wikipedia data; Twitter; Twitter data; electricity data; monitoring processes; monitoring process; monitoring; error metrics; outliers; missing values;

    Abstract : This work aims to explore practical one-step-ahead forecasting of structurally changing data, an unstable behaviour, that real-life data connected to human activity often exhibit. This setting can be characterized as monitoring process. READ MORE

  3. 2. Predicting Stock Markets with Commodities - An Empirical Study on the Nordic Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sebastian Söderlund Tovi; John Kjellgren; [2017]
    Keywords : Commodities; stock returns; predictability; state-switching; trading strategy; Business and Economics;

    Abstract : This study examines if commodity indices can be used to predict stock index returns on the Nordic financial markets. With a forecast period between 2000 and 2016, the study is conducted with an Ordinary Least Squares method to predict both in-sample and out-of- sample. READ MORE