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Cover: 9783540719168 | Forecasting with Exponential Smoothing | The State Space Approach
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Forecasting with Exponential Smoothing
The State Space Approach
Taschenbuch von Rob Hyndman (u. a.)
Sprache: Englisch

132,95 €*

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Lieferzeit 4-7 Werktage

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Beschreibung
Exponential smoothing methods have been around since the 1950s, and are still the most popular forecasting methods used in business and industry. However, a modeling framework incorporating stochastic models, likelihood calculation, prediction intervals and procedures for model selection, was not developed until recently. This book brings together all of the important new results on the state space framework for exponential smoothing. It will be of interest to people wanting to apply the methods in their own area of interest as well as for researchers wanting to take the ideas in new directions. Part 1 provides an introduction to exponential smoothing and the underlying models. The essential details are given in Part 2, which also provide links to the most important papers in the literature. More advanced topics are covered in Part 3, including the mathematical properties of the models and extensions of the models for specific problems. Applications to particular domains are discussed in Part 4.
Exponential smoothing methods have been around since the 1950s, and are still the most popular forecasting methods used in business and industry. However, a modeling framework incorporating stochastic models, likelihood calculation, prediction intervals and procedures for model selection, was not developed until recently. This book brings together all of the important new results on the state space framework for exponential smoothing. It will be of interest to people wanting to apply the methods in their own area of interest as well as for researchers wanting to take the ideas in new directions. Part 1 provides an introduction to exponential smoothing and the underlying models. The essential details are given in Part 2, which also provide links to the most important papers in the literature. More advanced topics are covered in Part 3, including the mathematical properties of the models and extensions of the models for specific problems. Applications to particular domains are discussed in Part 4.
Zusammenfassung

Exponential smoothing methods have been around since the 1950s, and are still the most popular forecasting methods used in business and industry. However, a modelling framework incorporating stochastic models, likelihood calculation, prediction intervals and procedures for model selection, was not developed until relatively recently. This book brings together all of the important new results on the state space framework for exponential smoothing. It will be of interest to people wanting to apply the methods in their own area of interest as well as for researchers wanting to take the ideas in new directions. In short, the book gives an overview of current topics and develops new ideas that have not appeared in the academic literature.

Inhaltsverzeichnis
Basic Concepts.- Getting Started.- Essentials.- Linear Innovations State Space Models.- Nonlinear and Heteroscedastic Innovations State Space Models.- Estimation of Innovations State Space Models.- Prediction Distributions and Intervals.- Selection of Models.- Further Topics.- Normalizing Seasonal Components.- Models with Regressor Variables.- Some Properties of Linear Models.- Reduced Forms and Relationships with ARIMA Models.- Linear Innovations State Space Models with Random Seed States.- Conventional State Space Models.- Time Series with Multiple Seasonal Patterns.- Nonlinear Models for Positive Data.- Models for Count Data.- Vector Exponential Smoothing.- Applications.- Inventory Control Applications.- Conditional Heteroscedasticity and Applications in Finance.- Economic Applications: The Beveridge-Nelson Decomposition.
Details
Erscheinungsjahr: 2008
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Seiten: 380
Reihe: Springer Series in Statistics
Inhalt: xiii
362 S.
ISBN-13: 9783540719168
ISBN-10: 3540719164
Sprache: Englisch
Herstellernummer: 12047758
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Hyndman, Rob
Snyder, Ralph D.
Ord, J. Keith
Koehler, Anne B.
Auflage: 2008
Hersteller: Springer-Verlag GmbH
Springer Berlin Heidelberg
Springer Series in Statistics
Maße: 235 x 155 x 21 mm
Von/Mit: Rob Hyndman (u. a.)
Erscheinungsdatum: 04.07.2008
Gewicht: 0,575 kg
preigu-id: 101831378
Zusammenfassung

Exponential smoothing methods have been around since the 1950s, and are still the most popular forecasting methods used in business and industry. However, a modelling framework incorporating stochastic models, likelihood calculation, prediction intervals and procedures for model selection, was not developed until relatively recently. This book brings together all of the important new results on the state space framework for exponential smoothing. It will be of interest to people wanting to apply the methods in their own area of interest as well as for researchers wanting to take the ideas in new directions. In short, the book gives an overview of current topics and develops new ideas that have not appeared in the academic literature.

Inhaltsverzeichnis
Basic Concepts.- Getting Started.- Essentials.- Linear Innovations State Space Models.- Nonlinear and Heteroscedastic Innovations State Space Models.- Estimation of Innovations State Space Models.- Prediction Distributions and Intervals.- Selection of Models.- Further Topics.- Normalizing Seasonal Components.- Models with Regressor Variables.- Some Properties of Linear Models.- Reduced Forms and Relationships with ARIMA Models.- Linear Innovations State Space Models with Random Seed States.- Conventional State Space Models.- Time Series with Multiple Seasonal Patterns.- Nonlinear Models for Positive Data.- Models for Count Data.- Vector Exponential Smoothing.- Applications.- Inventory Control Applications.- Conditional Heteroscedasticity and Applications in Finance.- Economic Applications: The Beveridge-Nelson Decomposition.
Details
Erscheinungsjahr: 2008
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Seiten: 380
Reihe: Springer Series in Statistics
Inhalt: xiii
362 S.
ISBN-13: 9783540719168
ISBN-10: 3540719164
Sprache: Englisch
Herstellernummer: 12047758
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Hyndman, Rob
Snyder, Ralph D.
Ord, J. Keith
Koehler, Anne B.
Auflage: 2008
Hersteller: Springer-Verlag GmbH
Springer Berlin Heidelberg
Springer Series in Statistics
Maße: 235 x 155 x 21 mm
Von/Mit: Rob Hyndman (u. a.)
Erscheinungsdatum: 04.07.2008
Gewicht: 0,575 kg
preigu-id: 101831378
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