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Exponential smoothing of realized portfolio weights
Journal of Empirical Finance, 2017Abstract The model-free exponential smoothing (ES) approach is a simple and robust way to make forecasts of random vectors. In this paper we investigate ES predictors for weights of high-dimensional realized global minimum variance portfolio (GMVP) which depend only on a realized covariance matrix of financial risky assets.
Vasyl Golosnoy +2 more
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Proceedings of the workshop on Virtual environments 2003, 2003
We present novel algorithms for predictive tracking of user position and orientation based on double exponential smoothing. These algorithms, when compared against Kalman and extended Kalman filter-based predictors with derivative free measurement models, run approximately 135 times faster with equivalent prediction performance and simpler ...
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We present novel algorithms for predictive tracking of user position and orientation based on double exponential smoothing. These algorithms, when compared against Kalman and extended Kalman filter-based predictors with derivative free measurement models, run approximately 135 times faster with equivalent prediction performance and simpler ...
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Robust methods in exponential smoothing
Kybernetika, 1996The paper investigates the robust modification of exponential smoothing with additive outliers. Motivated by the recursive methods described by \textit{T. Cipra} [``Robust exponential smoothing'', J. Forecasting 11, 57-69 (1992)], the author applies the \(M\)-estimates approach to perform the robust modification. Simple and double exponential smoothing
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2008
In earlier chapters we have considered only univariate models; we now proceed to examine multi-series extensions and to compare the multi-series innovations models with other multi-series schemes. We shall refer to our approach as the vector exponential smoothing (VES) framework. The innovations framework is similar to the structural time series models
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In earlier chapters we have considered only univariate models; we now proceed to examine multi-series extensions and to compare the multi-series innovations models with other multi-series schemes. We shall refer to our approach as the vector exponential smoothing (VES) framework. The innovations framework is similar to the structural time series models
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Adaptive Exponential Smoothing
1977Abstract : The adaptive exponential smoothing technique, and its utility for international affairs analysis, is discussed. Both monitoring and forecasting aspects of the technique are described. Calculation procedures are illustrated and worked through in an example using international event/interaction data.
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Exponential smoothing models for energy forecasting
2013In this paper we address the issue of modelling and forecasting spot electricity* prices and energy l,oad demand. In particular, we model hourly time series for the Italian 'GM3, (G.rtore Mercato Elettrico) and Nordic Nord Pool markets. Exponential smoothing Holt-Winters methods are appropriate in this context because they are highly adaptable and ...
BERNARDI, MAURO +2 more
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