Power Weighted Densities for Time Series Data

• Published in: arXiv.org
• Main Authors: McCarthy, Daniel M, Jensen, Shane T
• Format: Paper
• Language: English
• Published: Ithaca Cornell University Library, arXiv.org 09.12.2015
• Subjects: Evolution; Mathematical models; Model accuracy; Performance prediction; State vectors; Time series

While time series prediction is an important, actively studied problem, the predictive accuracy of time series models is complicated by non-stationarity. We develop a fast and effective approach to allow for non-stationarity in the parameters of a chosen time series model. In our power-weighted dens...