Forecasting with single source of randomness state space models

  • Snyder, Ralph (Primary Chief Investigator (PCI))
  • Chua, Chew (Chief Investigator (CI))
  • Ord, John (Partner Investigator (PI))
  • Taylor, James (Partner Investigator (PI))

Project: Research

Project Description

The aim is to extend research undertaken by the investigators on a particular time series framework for forecasting. The project entails the development of new theory tailored to applications involving a) the decomposition of macro-economic time series; b) the prediction of load on call centres; and the measurement of risk in financial returns. Predictions from the resulting forecasting methods would be suitable inputs to a range of decisions in economics, finance and business including the need for interest rate changes; the more accurate pricing of financial options; and the improvement of staffing rosters in call centres.
StatusFinished
Effective start/end date2/01/081/09/11

Funding

  • Australian Research Council (ARC): AUD231,000.00
  • The University of Melbourne