Interval-valued time series forecasting using a novel hybrid Holt^I and MSVR model

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• 作者：Tao Xiong^a ; Chongguang Li^a ; Yukun Bao^b ; ^{yukunbao@hust.edu.cn} ; ^{y.bao@ieee.org}
• 关键词：Interval-valued data ; Interval forecasting ; Interval Holt's exponential smoothing method (HoltI) ; Multi-output support vector regression (MSVR) ; Hybrid method
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：60
• 期：Complete
• 页码：11-23
• 全文大小：1248 K
• 卷排序：60

文摘

Extending the “linear and nonlinear” framework to the scenario of ITS forecasting. Proposing a novel prediction method for interval-valued time series. The experimental analysis is based on one- and multi-step-ahead interval forecasts. The proposed method is justified with statistical and economic criteria. HoltI-MSVR is a promising method for interval-valued time series forecasting.