Concepedia

Normalizing Kalman Filters for Multivariate Time Series Analysis

Emmanuel de Bézenac, Syama Sundar Rangapuram, Konstantinos Benidis, Michael Bohlke‐Schneider, Richard Kurle, Lorenzo Stella, Hilaf Hasson, Patrick Gallinari, Tim Januschowski

Neural Information Processing Systems · 2020 · 65 citations · 21 references

Concepts

References

21

Strictly Proper Scoring Rules, Prediction, and Estimation

Tilmann Gneiting, Adrian E. Raftery · Journal of the American Statistical Association · 2007 · 5.5K citations

, , +16

Sequential Monte Carlo Methods for Dynamic Systems

Jun S. Liu, Rong Chen · Journal of the American Statistical Association · 1998 · 1.8K citations

, , +13

AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM

Robert H. Shumway, David S. Stoffer · Journal of Time Series Analysis · 1982 · 1.5K citations

, , +16

Scoring Rules for Continuous Probability Distributions

James Matheson, Robert L. Winkler · Management Science · 1976 · 977 citations

, , +16

A hybrid method of exponential smoothing and recurrent neural networks for time series forecasting

Slawek Smyl · International Journal of Forecasting · 2019 · 745 citations

, , +15