Research Article
Application of Empirical Mode Decomposition with Local Linear Quantile Regression in Financial Time Series Forecasting
Table 2
Comparison of RMSE, MA, and MASE values for NZX50 using the Holt-Winter, LLQ, EMD, and EMD-LLQ methods.
| | n.head = 10 | RMSE | MAE | MASE |
| | EMD-LLQτ(0.25) | 2002.658 | 1146.388 | 141.743 | | EMD-LLQτ(0.50) | 2003.291 | 1146.721 | 140.9419 | | EMD-LLQτ(0.75) | 2003.833 | 1146.989 | 146.0694 | | EMD-LLQτ(0.95) | 2002.921 | 1146.404 | 143.3273 | | EMD | 2005.733 | 1147.129 | 154.8274 | | Holt-Winters | 2010.189 | 1159.261 | 225.7123 |
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