Predicting a Multitude of Time Series
Principles for constructing estimators of the Stein type (shrinkage estimators) are discussed in general terms, with emphasis on underlying assumptions. The problem of parameter estimation and prediction for multiple time series is examined with these principles in mind, particularly for the case in...
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| Veröffentlicht in: | Journal of the American Statistical Association 1981-09, Vol.76 (375), p.516-523 |
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| container_end_page | 523 |
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| container_issue | 375 |
| container_start_page | 516 |
| container_title | Journal of the American Statistical Association |
| container_volume | 76 |
| creator | Thisted, Ronald A. Wecker, William E. |
| description | Principles for constructing estimators of the Stein type (shrinkage estimators) are discussed in general terms, with emphasis on underlying assumptions. The problem of parameter estimation and prediction for multiple time series is examined with these principles in mind, particularly for the case in which the number of time series is large and the number of observations from each series is small. Our results are applied to the problem of demand estimation in an inventory control setting. |
| doi_str_mv | 10.1080/01621459.1981.10477678 |
| format | Article |
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The problem of parameter estimation and prediction for multiple time series is examined with these principles in mind, particularly for the case in which the number of time series is large and the number of observations from each series is small. 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The problem of parameter estimation and prediction for multiple time series is examined with these principles in mind, particularly for the case in which the number of time series is large and the number of observations from each series is small. Our results are applied to the problem of demand estimation in an inventory control setting.</abstract><pub>Taylor & Francis Group</pub><doi>10.1080/01621459.1981.10477678</doi><tpages>8</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0162-1459 |
| ispartof | Journal of the American Statistical Association, 1981-09, Vol.76 (375), p.516-523 |
| issn | 0162-1459 1537-274X |
| language | eng |
| recordid | cdi_jstor_primary_10_2307_2287504 |
| source | Jstor Complete Legacy; JSTOR Mathematics & Statistics |
| subjects | Applications Correlations Estimate reliability Estimators Estimators for the mean Maximum likelihood estimation Minimax Modeling Multiple time series Shrinkage estimators Standard deviation Statistical variance Stein estimators Time series forecasting |
| title | Predicting a Multitude of Time Series |
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