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Trace Forecast Likelihood

Project: Research

Description

The research on topic of shrinkage in univariate models and quasi-likelihood based on multiple steps ahead forecast errors

Acronym	TFL
Status	Finished
Effective start/end date	13/12/14 → 7/07/23

Svetunkov, Ivan (Principal Investigator)
Kourentzes, Nikos (Co-Investigator)
Killick, Rebecca (Co-Investigator)

Activities

ISF 2016 International Symposium on Forecasting
Activity: Participating in or organising an event types › Participation in conference -Mixed Audience
27th European Conference on Operational Research
Activity: Participating in or organising an event types › Participation in conference -Mixed Audience
Invited talk: "True models, trace optimisation and parameter shrinkage"
Activity: Talk or presentation types › Invited talk

Research outputs

Multi-step Estimators and Shrinkage Effect in Time Series Models
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Forecasting and Analytics with the Augmented Dynamic Adaptive Model (ADAM)
Research output: Book/Report/Proceedings › Monograph