Prediction intervals for heteroscedastic series by holt-winters methods

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Abstract

The paper illustrates a procedure to calculate prediction intervals in case of heteroscedasticity using Holt-Winters methods. The procedure has been applied to the Italian daily electricity prices (PUN) of the year 2014; then the prediction intervals have compared to those provided by an ARIMA-GARCH model. The intervals obtained with HW methods have been very similar to the others, but easier to calculate. Moreover, the HW procedure is more flexible in dealing with periodic volatility as proved in the case study.

Lingua originaleInglese
Titolo della pubblicazione ospiteStudies in Theoretical and Applied Statistics - SIS 2016
EditorMonica Pratesi, Anne Ruiz-Gazen, Cira Perna
EditoreSpringer New York LLC
Pagine179-186
Numero di pagine8
ISBN (stampa)9783319739052
DOI
Stato di pubblicazionePubblicato - 2018
Pubblicato esternamente
Evento48th Scientific Meeting of the Italian Statistical Society, SIS 2016 - Salerno, Italy
Durata: 8 giu 201610 giu 2016

Serie di pubblicazioni

NomeSpringer Proceedings in Mathematics and Statistics
Volume227
ISSN (stampa)2194-1009
ISSN (elettronico)2194-1017

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???event.eventtypes.event.conference???48th Scientific Meeting of the Italian Statistical Society, SIS 2016
Paese/TerritorioItaly
CittàSalerno
Periodo8/06/1610/06/16

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