Comparative study of multivariate and univariate models in forecasting time series data

Comparative study of multivariate and univariate models in forecasting time series data

This work compares the performances of univariate and multivariate time series models. Five time series variables from Nigeria’s gross domestic products were used for the comparative study. These series were modelled using both the univariate and multivariate time series framework. The performances...

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Main Authors: Salehuddin, Roselina, Shamsuddin, Siti Mariyam, Mohd. Hashim, Siti Zaiton
Format: Conference or Workshop Item
Published: 2007
Subjects:
QA75 Electronic computers. Computer science
Online Access:http://eprints.utm.my/id/eprint/25397/
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Institution: Universiti Teknologi Malaysia
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spelling my.utm.253972017-09-18T07:27:47Z http://eprints.utm.my/id/eprint/25397/ Comparative study of multivariate and univariate models in forecasting time series data Salehuddin, Roselina Shamsuddin, Siti Mariyam Mohd. Hashim, Siti Zaiton QA75 Electronic computers. Computer science This work compares the performances of univariate and multivariate time series models. Five time series variables from Nigeria’s gross domestic products were used for the comparative study. These series were modelled using both the univariate and multivariate time series framework. The performances of the two methods were evaluated based on the mean error incurred by each approach. The results showed that the univariate linear stationary models perform better than the multivariate models. 2007 Conference or Workshop Item PeerReviewed Salehuddin, Roselina and Shamsuddin, Siti Mariyam and Mohd. Hashim, Siti Zaiton (2007) Comparative study of multivariate and univariate models in forecasting time series data. In: Postgraduate Annual Research Seminar (PARS’ 07), 2007, UTM, Johor Bahru.
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
topic QA75 Electronic computers. Computer science
spellingShingle QA75 Electronic computers. Computer science
Salehuddin, Roselina
Shamsuddin, Siti Mariyam
Mohd. Hashim, Siti Zaiton
Comparative study of multivariate and univariate models in forecasting time series data
description This work compares the performances of univariate and multivariate time series models. Five time series variables from Nigeria’s gross domestic products were used for the comparative study. These series were modelled using both the univariate and multivariate time series framework. The performances of the two methods were evaluated based on the mean error incurred by each approach. The results showed that the univariate linear stationary models perform better than the multivariate models.
format Conference or Workshop Item
author Salehuddin, Roselina
Shamsuddin, Siti Mariyam
Mohd. Hashim, Siti Zaiton
author_facet Salehuddin, Roselina
Shamsuddin, Siti Mariyam
Mohd. Hashim, Siti Zaiton
author_sort Salehuddin, Roselina
title Comparative study of multivariate and univariate models in forecasting time series data
title_short Comparative study of multivariate and univariate models in forecasting time series data
title_full Comparative study of multivariate and univariate models in forecasting time series data
title_fullStr Comparative study of multivariate and univariate models in forecasting time series data
title_full_unstemmed Comparative study of multivariate and univariate models in forecasting time series data
title_sort comparative study of multivariate and univariate models in forecasting time series data
publishDate 2007
url http://eprints.utm.my/id/eprint/25397/
_version_ 1643647580630941696

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