ISBN 9783843908894

978-3-8439-0889-4, Reihe Statistik

Nikolay Robinzonov
Advances in Boosting of Temporal and Spatial Models

135 Seiten, Dissertation Ludwig-Maximilians-Universität München (2013), Softcover, A5

Zusammenfassung / Abstract

Boosting is an iterative algorithm for functional approximation and numerical optimization which can be applied to solve statistical regression-type problems. By design, boosting can mimic the solutions of many conventional statistical models, such as the linear model, the generalized linear model, and the generalized additive model, but its strength is to enhance these models or even go beyond. It enjoys increasing attention since a) it is a generic algorithm, easily extensible to exciting new problems, and b) it can cope with "difficult" data where conventional statistical models fail. In this dissertation, we design autoregressive time series models based on boosting which capture nonlinearity in the mean and in the variance, and propose new models for multi-step forecasting of both.