Direct multi-step estimation and forecasting

By Guillaume Chevillon. 2006

183 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Statistics and Probability

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Georgia A. Papacharalampous
2. Demetris Koutsoyiannis
3. Hristos Tyralis
4. Dhruv Madeka
5. Mu-Hwa Chen
6. Balakrishnan Narayanaswamy
7. Kari Torkkola
8. Ruofeng Wen

In Management Science and Operations Research

1. Dhruv Madeka
2. Georgia A. Papacharalampous
3. Demetris Koutsoyiannis
4. Hristos Tyralis
5. Mu-Hwa Chen
6. Balakrishnan Narayanaswamy
7. Kari Torkkola
8. Ruofeng Wen

In Statistics and Probability

1. Dhruv Madeka
2. Mu-Hwa Chen
3. Balakrishnan Narayanaswamy
4. Kari Torkkola
5. Ruofeng Wen
6. Hristos Tyralis
7. Qiang Xu
8. Rachidi Kotchoni

Citations in the corpus

• A Multi-Horizon Quantile Recurrent Forecaster (2017, methodology): “In the field of forecasting, Chevillon, 2007 showed that the Direct strategy, where a model directly predicts yt+k given y:t for each k, is less biased, more stable and more robust to model mis-specification.”
• Pairs trading and outranking: The multi-step-ahead forecasting case (2010, background): “Christoffersen and Diebold (2006) explain that sign dependence is not likely to be found in very high-frequency (e.g. daily) or very low-frequency (e.g. annual) returns; instead, it is more likely to be found at intermediate return horizons.”
• Are Transformers Effective for Time Series Forecasting? (2022, methodology): “Alternatively, we can directly optimize the multi-step forecasting objective at once, known as direct multi-step (DMS) forecasting [4].”
• A Bias and Variance Analysis for Multistep-Ahead Time Series Forecasting (2016, unknown): “A summary of the findings is given in [24].”
• Predictability of monthly temperature and precipitation using automatic time series forecasting methods (2018, background): “Relevant reviews on multi-step ahead forecasting methodologies can be found in Chevillon (2007) and Taieb et al. (2012).”
• Macroeconomic forecast accuracy in a data‐rich environment (2019, methodology): “(5)The iterative approach is found to be better when a true AR(L) process prevails for yt while the direct approach is more robust to misspecification, see Chevillon (2007). Marcellino et al. (2006) conclude that the direct approach provides slightly better results but does not dominate uniformly ac”