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Exponential smoothing and resampling techniques in time series prediction

Maria Manuela NevesClara Cordeiro — 2010

Discussiones Mathematicae Probability and Statistics

Time series analysis deals with records that are collected over time. The objectives of time series analysis depend on the applications, but one of the main goals is to predict future values of the series. These values depend, usually in a stochastic manner, on the observations available at present. Such dependence has to be considered when predicting the future from its past, taking into account trend, seasonality and other features of the data. Some of the most successful forecasting methods are...

Computational intensive methods for prediction and imputation in time series analysis

Maria Manuela NevesClara Cordeiro — 2011

Discussiones Mathematicae Probability and Statistics

One of the main goals in times series analysis is to forecast future values. Many forecasting methods have been developed and the most successful are based on the concept of exponential smoothing, based on the principle of obtaining forecasts as weighted combinations of past observations. Classical procedures to obtain forecast intervals assume a known distribution for the error process, what is not true in many situations. A bootstrap methodology can be used to compute distribution free forecast...

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