Time Series Analysis

  1. Forecasting Evaluation and Model Selection
    1. Forecast Accuracy Measures
      1. Scale-Dependent Errors
        1. Mean Absolute Error
          1. Root Mean Squared Error
            1. Mean Error
            2. Percentage Errors
              1. Mean Absolute Percentage Error
                1. Symmetric MAPE
                  1. Weighted MAPE
                  2. Scale-Independent Errors
                    1. Mean Absolute Scaled Error
                      1. Relative Absolute Error
                      2. Other Measures
                        1. Median Absolute Error
                          1. Geometric Mean Relative Absolute Error
                        2. Cross-Validation for Time Series
                          1. Time Series Split
                            1. Rolling Window Validation
                              1. Expanding Window Validation
                                1. Blocked Cross-Validation
                                2. Model Comparison
                                  1. Statistical Tests
                                    1. Diebold-Mariano Test
                                      1. Model Confidence Set
                                        1. Reality Check
                                        2. Forecast Combination
                                          1. Simple Averaging
                                            1. Weighted Averaging
                                              1. Regression-Based Combination
                                                1. Bayesian Model Averaging
                                                2. Prediction Intervals
                                                  1. Parametric Intervals
                                                    1. Bootstrap Intervals
                                                      1. Quantile Regression
                                                        1. Conformal Prediction

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                                                      13. Machine Learning for Time Series

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                                                      15. Practical Forecasting Considerations