The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Some advances in non‐linear and adaptive modelling in time‐series
Abstract
This paper considers some recent developments in non‐linear and linear time series analysis. It consists of two main components. The first emphasizes the advances in non‐linear modelling and in Bayesian inference via the Gibbs sampler. Advantages and the usefulness of these advances are illustrated by real examples. The second component is concerned with adaptive forecasting. This shows that linear models can provide accurate forecasts provided that the parameters involved are estimated adaptively. In particular, we focus on forecasting long‐memory time series. Again, a real example is used to illustrate the results.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Sampling-based approaches to calculating marginal densities
Gelfand, A. E., & Smith, A. F. M. (1990) · Journal of the American Statistical Association · doi:10.1080/01621459.1990.10476213 · Cited by 6,606
Cited by
Model uncertainty, data mining and statistical inference
Chatfield, C. (1995) · Journal of the Royal Statistical Society. Series A (Statistics in Society) · doi:10.2307/2983440 · Cited by 1,103
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Marcellino, M., Stock, J. H., & Watson, M. W. (2006) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.07.020 · Cited by 789
Ben Taieb, S., Bontempi, G., Atiya, A. F., & Sorjamaa, A. (2012) · Expert Systems with Applications · doi:10.1016/j.eswa.2012.01.039 · Cited by 734
Metadata
- Authors
- Tiao, G. C., & Tsay, R. S.
- Venue
- Journal of Forecasting
- Publisher
- Wiley
- Published
- 1994-03
- Volume
- 13
- Issue
- 2
- Pages
- 109-131
- ISSN
- 0277-6693 (ISSN-L)
- 1099-131X
- OpenAlex
- W1993128234
- Cited by
- 361
- References
- 2
- FWCI
- 14.96
- Type
- journal article
- Language
- en
- Open access
- closed
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- Tiao, G. C., & Tsay, R. S. (1994). Some advances in non‐linear and adaptive modelling in time‐series. Journal of Forecasting. https://doi.org/10.1002/for.3980130206
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
