Forecasting with model averaging

Mixture of experts, ensembles and time series



Time series prediction niceties, specialising on ensemble/model mixing methods. See also statistical learning theory for dependent data.

References

Bates, J. M., and C. W. J. Granger. 1969. β€œThe Combination of Forecasts.” Journal of the Operational Research Society 20 (4): 451–68.
Bousquet, Olivier, and Manfred K. Warmuth. 2001. β€œTracking a Small Set of Experts by Mixing Past Posteriors.” In Computational Learning Theory, edited by David Helmbold and Bob Williamson, 31–47. Lecture Notes in Computer Science. Berlin, Heidelberg: Springer.
Carvalho, Alexandre X., and Martin A. Tanner. 2006. β€œModeling Nonlinearities with Mixtures-of-Experts of Time Series Models.” International Journal of Mathematics and Mathematical Sciences 2006 (August): e19423.
Chen, Rong, and Jun S. Liu. 2000. β€œMixture Kalman Filters.” Journal of the Royal Statistical Society: Series B (Statistical Methodology) 62 (3): 493–508.
Davis, Richard A., and Mikkel S. Nielsen. 2020. β€œModeling of Time Series Using Random Forests: Theoretical Developments.” Electronic Journal of Statistics 14 (2): 3644–71.
Feng, Jiashi, Huan Xu, and Shie Mannor. 2017. β€œOutlier Robust Online Learning.” arXiv:1701.00251 [Cs, Stat], January.
FrΓΌhwirth-Schnatter, Sylvia. 2006. Finite Mixture and Markov Switching Models. Springer Series in Statistics. New York: Springer.
FrΓΌhwirth-Schnatter, Sylvia, and Christoph Pamminger. 2010. β€œModel-Based Clustering of Categorical Time Series.” Bayesian Analysis 5 (2).
β€”β€”β€”. n.d. β€œBayesian Clustering of Categorical Time Series Using Finite Mixtures of Markov Chain Models.”
Huerta, Gabriel, Wenxin Jiang, and Martin A. Tanner. 2001. β€œDiscussion: Mixtures of Time Series Models.” Journal of Computational and Graphical Statistics 10 (1): 82–89.
β€”β€”β€”. 2003. β€œTime Series Modeling Via Hierarchical Mixtures.” Statistica Sinica 13 (4): 1097–1118.
Jacobs, Abigail Z. 2011. β€œAdapting to Non-Stationarity with Growing Predictor Ensembles,” 64.
Kuznetsov, Vitaly, and Mehryar Mohri. 2014. β€œForecasting Non-Stationary Time Series: From Theory to Algorithms.”
Montgomery, Jacob M., Florian M. Hollenbach, and Michael D. Ward. n.d. β€œImproving Predictions Using Ensemble Bayesian Model Averaging.” Political Analysis 20 (3): 271–91.
Phillips, Robert F. 1987. β€œComposite Forecasting: An Integrated Approach and Optimality Reconsidered.” Journal of Business & Economic Statistics 5 (3): 389–95.
Prado, Raquel, Marco A. R. Ferreira, and Mike West. 2021. Time series: modeling, computation, and inference. Second edition. Texts in statistical science. Boca Raton London New York: CRC Press, Taylor & Francis Group.
West, Mike. 1993. β€œMixture Models, Monte Carlo, Bayesian Updating and Dynamic Models,” 11.
Wood, Sally, Ori Rosen, and Robert Kohn. 2011. β€œBayesian Mixtures of Autoregressive Models.” Journal of Computational and Graphical Statistics 20 (1): 174–95.
Zeevi, Assaf J., Ron Meir, and Robert J. Adler. 1996. β€œTime Series Prediction Using Mixtures of Experts.” In Proceedings of the 9th International Conference on Neural Information Processing Systems, 309–15. NIPS’96. Cambridge, MA, USA: MIT Press.
Zeevi, Assaf, Ron Meir, and Robert J Adler. 1999. β€œNon-Linear Models for Time Series Using Mixtures of Autoregressive Models,” 49.

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