In this paper we survey the most recent advances in supervised machine learning and highdimensional models for time … series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention to … predictive ability are brie y reviewed. Finally, we discuss application of machine learning in economics and finance and provide …

In this paper we survey the most recent advances in supervised machine learning and highdimensional models for time … series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention to … predictive ability are brie y reviewed. Finally, we discuss application of machine learning in economics and finance and provide …

regression trees, bagging, random forest, boosting machines and neural networks. Finally, we provide methodologies for analysing … from the classical world of generalized linear models, generalized additive models and credibility theory. These methods … form the basis of the deeper statistical understanding. We then present several machine learning techniques such as …