Tsung-wu Ho is a professor at National Taiwan Normal University. His research interests are Asset Pricing, Machine Learning, Economic and Decision Making.
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Time Series Forecasting using Machine Learning
Tsung-wu Ho
This book uses R package, iForecast, to conduct financial economic time series forecasting with machine learning methods, especially the generation of dynamic forecasts out-of-sample. Machine learning methods cover enet, random forecast, gbm, and autoML etc., including binary economic time series. The book explains the problem about the generation of recursive forecasts in machine learning framework, under which, there are no covariates, namely, input (independent) variables. This case is pretty common...
