Sökning: "Forecasting with a large number of predictors"

Hittade 2 avhandlingar innehållade orden Forecasting with a large number of predictors.

1. 1. Essays on forecasting and Bayesian model averaging

   Författare :Jana Eklund; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis, which consists of four chapters, focuses on forecasting in a data-rich environment and related computational issues. Chapter 1, “An embarrassment of riches: Forecasting using large panels” explores the idea of combining forecasts from various indicator models by using Bayesian model averaging (BMA) and compares the predictive performance of BMA with predictive performance of factor models. LÄS MER

3. 2. Factor-Augmented Forecasting for High-Dimensional Data

   Författare :Ying Pang; Martin Sköld; Martin Singull; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; High-Dimensional Data; Factor-Augmented Forecasting; Principal Component; Lasso; Cross Validation; Multi-Level Factor; Predictive Performance; matematisk statistik; Mathematical Statistics;

   Sammanfattning : In this thesis, we take a critical look at the factor-augmented forecast models, when a large number of time series variables available can provide the vital information for prediction. We discuss how to describe the commonality and idiosyncrasy of high-dimensional data by a handful of factors in various levels, and how to improve the predictive performance using these factors as augmented predictors. LÄS MER