Multi-step forecasts from threshold ARMA models using asymmetric loss functions

Marcella Niglio

首页> 外文期刊>Statistical Methods and Applications >Multi-step forecasts from threshold ARMA models using asymmetric loss functions

【24h】

Multi-step forecasts from threshold ARMA models using asymmetric loss functions

机译：使用非对称损耗函数从阈值ARMA模型进行多步预测

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

The forecasts generation from nonlinear time series models is investigated under general loss functions. After presenting the main results and some relevant features of these functions, the Linex loss has been used to generate multi-step forecasts from threshold autoregressive moving average models showing their main properties and some results connected to a proper transformation of the forecast errors. A simulation exercise highlights interesting properties of the proposed predictors, both in terms of their bias and their distribution, further clarifying how the Linex predictor can be helpful in empirical applications.

机译：在一般损失函数下研究了非线性时间序列模型的预测生成。在介绍了这些功能的主要结果和一些相关功能之后，Linex损失已用于根据阈值自回归移动平均模型生成多步预测，该模型显示了它们的主要属性以及与正确转换预测误差有关的一些结果。模拟练习从拟定的预测变量的偏差和分布方面突出了拟议的预测变量的有趣属性，进一步阐明了Linex预测变量在经验应用中的帮助。

著录项

来源
《Statistical Methods and Applications》 |2007年第3期|395-410|共16页
作者
Marcella Niglio;
展开▼
作者单位

Dipartimento di Scienze Economiche e Statistiche, Universita degli Studi di Salerno, Via Ponte Don Melillo, 84084 Fisciano (SA), Italy;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
nonlinear prediction; general loss functions; SETARMA; linex;

机译：非线性预测一般损失函数;SETARMA;Linex;

相似文献

外文文献
中文文献
专利

1. Multivariate test for forecast rationality under asymmetric loss functions: Recent evidence from MMS survey of inflation-output forecasts [J] . Yasemin Ulu Economics letters . 2013,第2期

机译：非对称损失函数下的预测合理性的多元检验：MMS对通胀-产出预测的调查的最新证据
2. A Note on Forecasting the Euro: Do Forecasters Have an Asymmetric Loss Function? [J] . ULRICH FRITSCHE, CHRISTIAN PIERDZIOCH, JAN-CHRISTOPH RUELKE, International economic journal . 2014,第2期

机译：关于欧元预测的注意事项：预测者是否具有非对称损失函数？
3. Do foreign exchange forecasters apply asymmetric loss functions? Evidence from three major exchange rates [J] . Frenkel Michael, Ruelke Jan-Christoph, Mauch Matthias Applied economics letters . 2019,第7a9期

机译：外汇预报员是否适用不对称损失函数？来自三个主要汇率的证据
4. Aggregation of Adaptive Forecasting Algorithms Under Asymmetric Loss Function [C] . Alexey Romanenko Statistical Learning and Data Sciences . 2015

机译：非对称损失函数下的自适应预测算法聚合
5. STOCHASTIC THRESHOLD MODELING FOR LINEAR AND NONLINEAR SYSTEM MONITORING AND DIAGNOSIS (DYNAMIC DATA, NONPARAMETRIC, PARAMETRIC ON-LINE ADAPTIVE MODELING, ARMA). [D] . HSIEH, SU-HUA. 1985

机译：用于线性和非线性系统监测和诊断的随机阈值建模（动态数据，非参数，参数在线自适应建模，ARMA）。
6. Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns [O] . Melike Bildirici, Özgür Ersin -1

机译：Markov转换ARMA-GARCH神经网络模型的建模及其在股票收益预测中的应用
7. Forecasting the Euro: Do Forecasters Have an Asymmetric Loss Function? [O] . Fritsche Ulrich, Pierdzioch Christian, Ruelke Jan-Christoph, 2012

机译：预测欧元：预测者是否具有不对称损失函数？

Multi-step forecasts from threshold ARMA models using asymmetric loss functions

摘要

著录项

相似文献

相关主题

期刊订阅