Improving the accuracy of predictions in multivariate time series using dynamic vine copulas
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F24%3A00599051" target="_blank" >RIV/67985556:_____/24:00599051 - isvavai.cz</a>
Result on the web
<a href="https://www.tandfonline.com/doi/full/10.1080/03081079.2024.2350542" target="_blank" >https://www.tandfonline.com/doi/full/10.1080/03081079.2024.2350542</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/03081079.2024.2350542" target="_blank" >10.1080/03081079.2024.2350542</a>
Alternative languages
Result language
angličtina
Original language name
Improving the accuracy of predictions in multivariate time series using dynamic vine copulas
Original language description
In this work, we deal with non-stationary multivariate time series, proposing a method which uses copulas to produce more accurate forecasting. The idea is to apply a copula-based approach to identify change points and then split the time series into consecutive segments based on these change points. In each segment, we define the best-fitting copula family and forecast values of the time series of each segment using the corresponding fitting copula. We apply our model to a financial data set to test the predictive power of our approach. A simulation study is also presented for a detailed illustration and assessment of our proposed methodology. Based on the results of numerical analysis, we observed that our proposed approach will help us to improve the accuracy of forecasting in comparison with other existing methods such as traditional time series forecasting as well as neural network forecasting.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International Journal of General Systems
ISSN
0308-1079
e-ISSN
1563-5104
Volume of the periodical
53
Issue of the periodical within the volume
7-8
Country of publishing house
GB - UNITED KINGDOM
Number of pages
15
Pages from-to
1146-1160
UT code for WoS article
001233832100001
EID of the result in the Scopus database
2-s2.0-85194565565