A procedure for identification of appropriate state space and ARIMA models based on time-series cross-validation

In this work, a cross-validation procedure is used to identify an appropriate Autoregressive Integrated Moving Average model and an appropriate state space model for a time series. A minimum size for the training set is specified. The procedure is based on one-step forecasts and uses different train...

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Bibliographic Details
Main Author: Ramos, Patricia (author)
Other Authors: Oliveira, José Manuel (author)
Format: article
Language:eng
Published: 2017
Subjects:
Model identification
State space models
ARIMA models
Forecasting
Retailing
Online Access:http://hdl.handle.net/10400.22/9992
Country:Portugal
Oai:oai:recipp.ipp.pt:10400.22/9992

Internet

http://hdl.handle.net/10400.22/9992

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