Probabilistic prediction of real-world time series: A local regression approach

Details Probabilistic prediction of real-world time series: A local regression approach Probabilistic prediction of real-world time series: A local regression approach

Feb 2007

adsabs.harvard.edu/cgi-bin/nph-data_query?bibcode=2007georl..3403403l&link_type=abstract

Geophysical Research Letters, Volume 34, Issue 3, CiteID L03403

Physics

Geophysics

2

Hydrology: Extreme Events, Mathematical Geophysics: Prediction (3245, 4263), Mathematical Geophysics: Probabilistic Forecasting (3238), Mathematical Geophysics: Time Series Analysis (1872, 4277, 4475), Mathematical Geophysics: Uncertainty Quantification (1873)

Scientific paper

We propose a probabilistic prediction method, based on local polynomial regressions, which complements the point forecasts with robust estimates of the corresponding forecast uncertainty. The reliability, practicability and generality of the method is demonstrated by applying it to astronomical, physiological, economic, and geophysical time series.

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