Presentation Slides: Forecasting Using NNS
28 Pages Posted: 30 May 2019 Last revised: 8 Aug 2019
Date Written: April 7, 2018
Presentation slides highlighting the forecasting technique NNS.ARMA using nonlinear nonparametric statistics in the R-package "NNS".
Explains the determination of seasonality using the coefficient of variance of subset series and the implementation of both linear and nonlinear regressions on the component series. Examples comparing performance against traditional ARMA methods as well as state of the art machine learning techniques.
Keywords: Time-Series, Forecasting, Nonlinear Regression, Clustering, Seasonality
JEL Classification: C01, C14, C22
Suggested Citation: Suggested Citation