相关论文: Generalized Exponential smoothing in prediction of…

In this article, a new nonparametric and robust method of forecasting hierarchical functional time series is presented. The method is compared with Hyndman and Shang's method with respect to their unbiasedness, effectiveness, robustness,…

Simple exponential smoothing is widely used in forecasting economic time series. This is because it is quick to compute and it generally delivers accurate forecasts. On the other hand, its multivariate version has received little attention…

Non-stationary time series with non-linear trends are frequently encountered in applications. We consider here the feasibility of accurately forecasting the signals of multiple such time series considering jointly when the number of…

Simple Exponential Smoothing is a classical technique used for smoothing time series data by assigning exponentially decreasing weights to past observations through a recursive equation; it is sometimes presented as a rule of thumb…

Functional time series whose sample elements are recorded sequentially over time are frequently encountered with increasing technology. Recent studies have shown that analyzing and forecasting of functional time series can be performed…

Time series analysis is used to understand and predict dynamic processes, including evolving demands in business, weather, markets, and biological rhythms. Exponential smoothing is used in all these domains to obtain simple interpretable…

We propose using a discounted version of a convex combination of the log-likelihood with the corresponding expected log-likelihood such that when they are maximized they yield a filter, predictor and smoother for time series. This paper…

We revisit the interest of classical statistical techniques for sales forecasting like exponential smoothing and extensions thereof (as Holt's linear trend method). We do so by considering ensemble forecasts, given by several instances of…

Time series forecasting is an active research topic in academia as well as industry. Although we see an increasing amount of adoptions of machine learning methods in solving some of those forecasting challenges, statistical methods remain…

In Smyl et al. [Local and global trend Bayesian exponential smoothing models. International Journal of Forecasting, 2024.], a generalised exponential smoothing model was proposed that is able to capture strong trends and volatility in time…

We formulate approximate Bayesian inference in non-conjugate temporal and spatio-temporal Gaussian process models as a simple parameter update rule applied during Kalman smoothing. This viewpoint encompasses most inference schemes,…

An approach is presented for making predictions about functional time series. The method is applied to data coming from periodically correlated processes and electricity demand, obtaining accurate point forecasts and narrow prediction bands…

Accurate curve forecasting is of vital importance for policy planning, decision making and resource allocation in many engineering and industrial applications. In this paper we establish a theoretical foundation for the optimal short-term…

Conformal prediction offers a practical framework for distribution-free uncertainty quantification, providing finite-sample coverage guarantees under relatively mild assumptions on data exchangeability. However, these assumptions cease to…

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 takes into account the estimation error.…

We propose a novel approach to the problem of clustering hierarchically aggregated time-series data, which has remained an understudied problem though it has several commercial applications. We first group time series at each aggregated…

Forecast reconciliation is the post-forecasting process aimed to revise a set of incoherent base forecasts into coherent forecasts in line with given data structures. Most of the point and probabilistic regression-based forecast…

Hierarchical forecasting is a key problem in many practical multivariate forecasting applications - the goal is to simultaneously predict a large number of correlated time series that are arranged in a pre-specified aggregation hierarchy.…

We introduce inferential methods for prediction based on functional random effects in generalized functional mixed effects models. This is similar to the inference for random effects in generalized linear mixed effects models (GLMMs), but…

Exponential smoothers are a simple and memory efficient way to compute running averages of time series. Here we define and describe practical properties of exponential smoothers for signals observed at constant and variable intervals.