Automatic locally stationary time series forecasting with application to predicting UK gross value added time series
针对英国总增加值数据方差随时间增大的非平稳性，采用局部平稳时间序列预测方法，直接处理原始数据，在新冠疫情期间仍保持高精度。
Abstract Accurate forecasting of the UK gross value added (GVA) is fundamental for measuring the growth of the UK economy. A common nonstationarity in GVA data, such as the ABML series, is its increase in variance over time due to inflation. Transformed or inflation-adjusted series can still be challenging for classical stationarity-assuming forecasters. We adopt a different approach that works directly with the GVA series by advancing recent forecasting methods for locally stationary time series. Our approach results in more accurate and reliable forecasts, and continues to work well even when the ABML series becomes highly variable during the COVID pandemic.