price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard …

assumed to be Gaussian, the resulting prediction distribution may have an infinite variance beyond a certain forecasting … approximation causes no serious problems for parameter estimation or for forecasting one or two steps ahead. However, for longer …. The performance of the Gaussian approximation is compared with those of two lognormal models for short-term forecasting …

forecasting. The parameter space for SSOE models may be specified to match that of the corresponding ARIMA scheme, or it may be … that underlies the Holt-Winters forecasting method. Conditionally heteroscedastic models may be developed in a similar …

to be forecast. The EIC provides a data-driven model selection tool that can be tuned to the particular forecasting task …'s Bayesian Information Criterion (BIC). The comparisons show that for the M3 forecasting competition data, the EIC outperforms …

-term forecasting and also produce sensible long-term forecasts. The forecasts are compared with the official Australian government …

The application of traditional forecasting methods to discrete count data yields forecasts that are non-coherent. That …

the other periods. Croston's method is a widely used procedure for intermittent demand forecasting. However, it is an ad …