• vars

  • Referenced in 37 articles [sw04507]
  • selection, diagnostic testing, forecasting, causality analysis, forecast error variance decomposition and impulse response functions...
  • EnKF

  • Referenced in 441 articles [sw02066]
  • applies ensemble integrations to predict the error statistics forward in time, and it uses ... summer 2003 could have been more efficiently forecast if the EnKF had been used...
  • CHAN4CAST

  • Referenced in 7 articles [sw08901]
  • introductions. The model’s mean percentage forecast error for the grocery channel ... allows product managers both to plan for forecast sales volumes as well as to simulate...
  • MSBVAR

  • Referenced in 3 articles [sw04504]
  • using likelihood-based error bands), and forecast error decompositions. Also includes utility functions for plotting...
  • DCL

  • Referenced in 30 articles [sw11087]
  • derive a suprisingly simple method for forecasting IBNR and RBNS claims. A simple relationship between ... payment delay. Bootstrap methods provide prediction errors and make possible the inference about IBNR...
  • ForecastTB

  • Referenced in 2 articles [sw32506]
  • methods are compared using different error metrics. Proposed forecasting methods and alternative error metrics...
  • ensAR

  • Referenced in 1 article [sw28376]
  • However, NWP ensembles often exhibit forecast biases and dispersion errors, thus require statistical postprocessing ... utilizing autoregressive information present in the forecast error of the raw ensemble members. The original ... heteroscedastic model. Furthermore, an additional high-resolution forecast is included into the postprocessing model, yielding...
  • bvartools

  • Referenced in 1 article [sw40881]
  • simulation, forecasting, impulse response analysis and forecast error variance decomposition are largely based...
  • BVAR

  • Referenced in 1 article [sw40878]
  • identify impulse responses, calculate forecasts, forecast error variance decompositions and scenarios are available. Several methods...
  • panelvar

  • Referenced in 1 article [sw41554]
  • intervals for impulse response analysis and forecast error variance decompositions...
  • XTVAR

  • Referenced in 0 articles [sw37483]
  • dependent variables. The program also produces Forecast Error Variance Decompositions and Impulse Response Functions...
  • E4

  • Referenced in 13 articles [sw17878]
  • measurement errors, missing data, vector GARCH errors and constraints on the parameters. The Toolbox also ... likelihood gradient and the information matrix, simulation, forecasting and signal extraction. E4 is free software...
  • bio-time-series

  • Referenced in 1 article [sw42299]
  • prediction error and can also be used for forecasting future samples. In some brain regions ... feedback connections necessary to use the prediction error for learning are absent. For this case...
  • smooth

  • Referenced in 1 article [sw38792]
  • package smooth: Forecasting Using State Space Models. Functions implementing Single Source of Error state space...
  • PROC ARIMA

  • Referenced in 2 articles [sw12094]
  • ARIMA procedure analyzes and forecasts equally spaced univariate time series data, transfer function data ... combination of its own past values, past errors (also called shocks or innovations), and current ... time series model identification, parameter estimation, and forecasting, and it offers great flexibility ... series models; multiple regression analysis with ARMA errors; and rational transfer function models...
  • MHTS

  • Referenced in 1 article [sw32816]
  • regression with autocorrelated error, intervention analysis and STL decompositions are available. Forecasting including mmse forecasts...
  • LinMapTS

  • Referenced in 5 articles [sw22220]
  • present two routines that improve the forecasting. In the first, an algorithm that greatly improves ... checking the normality of the distribution of errors and calculates the expected deviation. The development...
  • REGCMPNT

  • Referenced in 4 articles [sw24171]
  • models with linear regression mean functions and error terms that follow ARIMA (autoregressive-integrated-moving ... Gaussian maximum likelihood estimation, signal extraction, and forecasting with RegComponent models. In this paper...
  • TSM

  • Referenced in 5 articles [sw09504]
  • time series modelling. It will estimate and forecast ARIMA and ARFIMA models, several GARCH, FIGARCH ... estimated easily, options including VARs, simultaneous systems, error correction systems, multivariate GARCH and regime switching...
  • G@RCH

  • Referenced in 5 articles [sw17835]
  • software dedicated to the estimation and the forecasting of univariate and multivariate (G)ARCH models ... four proposed distributions for the errors (Normal, Student-t, GED or skewed-Student). Moreover, ARCH...