Moudiki, Thierry; Planchet, Frédéric; Cousin, Areski - In: Risks : open access journal 6 (2018) 1, pp. 1-20
relationships between their observations. For this purpose, we use a specific type of regression model on an augmented dataset of … lagged time series. Our model is inspired by dynamic regression models (Pankratz 2012), with the response variable’s lags … been successfully applied in the past, to solving regression and classification problems. The novelty of our approach is to …