Measuring the advantages of multivariate vs. Univariate forecasts

被引：21

作者：

Pena, Daniel ^{[1
]}

Sanchez, Ismael ^{[1
]}

机构：

[1] Univ Carlos III Madrid, E-28903 Getafe, Spain

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2007年 / 28卷 / 06期

关键词：

ARMA models; dynamic regression models; prediction; VARMA models;

D O I：

10.1111/j.1467-9892.2007.00538.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Suppose we are interested in forecasting a time series and, in addition to the time series data, we have data from many time series related to the one we want to forecast. Since building a dynamic multivariate model for the set of time series can be a complex task, it is important to measure in advance the increase in precision to be attained by using multivariate forecasts with respect to univariate ones. This article presents a simple procedure designed to obtain a consistent estimate of this measure. Its performance is illustrated with Monte Carlo simulations and examples.

引用

页码：886 / 909

页数：24

共 50 条

[1] Univariate vs. Multivariate Moving Window Spectral analysis
Ngnepieba, Pierre
Ridley, Dennis
[J]. WMSCI 2007: 11TH WORLD MULTI-CONFERENCE ON SYSTEMICS, CYBERNETICS AND INFORMATICS, VOL IV, PROCEEDINGS, 2007, : 350 - +
[2] NBA regular season team statistics vs. winning performance - A univariate/multivariate exploratory analysis
Fish, CJ
[J]. AMERICAN STATISTICAL ASSOCIATION - 1996 PROCEEDINGS OF THE SECTION ON STATISTICS IN SPORTS, 1996, : 60 - 65
[3] Price forecasting in the Ontario electricity market via TriConvGRU hybrid model: Univariate vs. multivariate frameworks
Ehsani, Behdad
Pineau, Pierre -Olivier
Charlin, Laurent
[J]. APPLIED ENERGY, 2024, 359
[4] Forecasting the Romanian Unemployment Rate in Time of Health Crisis-A Univariate vs. Multivariate Time Series Approach
Davidescu, Adriana AnaMaria
Apostu, Simona-Andreea
Marin, Aurel
[J]. INTERNATIONAL JOURNAL OF ENVIRONMENTAL RESEARCH AND PUBLIC HEALTH, 2021, 18 (21)
[5] Univariate vs. Multivariate Calibration in the Quantification of Carbamazepine in Tablets by Raman Spectroscopy using PCA as Spectral Selection Tool
de Menezes, Daniela R.
Carneiro, Renato L.
[J]. LATIN AMERICAN JOURNAL OF PHARMACY, 2012, 31 (09): : 1341 - 1347
[6] The advantages of gynodioecy vs. dioecy in plants
Case, A. L.
[J]. INTEGRATIVE AND COMPARATIVE BIOLOGY, 2013, 53 : E31 - E31
[7] Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
Ziel, Florian
Weron, Rafal
[J]. ENERGY ECONOMICS, 2018, 70 : 396 - 420
[8] Measuring Comovements by Univariate and Multivariate Regression Quantiles: Evidence from Europe
Tomanova, Petra
[J]. 34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016), 2016, : 863 - 868
[9] Univariate and multivariate skewness and kurtosis for measuring nonnormality: Prevalence, influence and estimation
Cain, Meghan K.
Zhang, Zhiyong
Yuan, Ke-Hai
[J]. BEHAVIOR RESEARCH METHODS, 2017, 49 (05) : 1716 - 1735
[10] Measuring tail operational risk in univariate and multivariate models with extreme losses
Yang, Yang
Gong, Yishan
Liu, Jiajun
[J]. JOURNAL OF OPERATIONAL RISK, 2023, 18 (01): : 31 - 57

← 1 2 3 4 5 →