Prediction of time series by statistical learning: general losses and fast rates

DOI10.2478/DEMO-2013-0004OpenAlexW1971110023MaRDI QIDQ5417591

Olivier Wintenberger, Xiaoyin Li, Pierre Alquier

Publication date: 21 May 2014

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.1847

zbMATH Keywords

mixingtime series forecastingstatistical learning theoryweak dependenceoracle inequalitiesfast ratesGDP forecastingPACBayesian bounds

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Computational learning theory (68Q32) Learning and adaptive systems in artificial intelligence (68T05) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (11)

Generalization bounds for non-stationary mixing processes ⋮ Tight risk bound for high dimensional time series completion ⋮ Simpler PAC-Bayesian bounds for hostile data ⋮ Deviation inequalities for stochastic approximation by averaging ⋮ Exponential inequalities for nonstationary Markov chains ⋮ Learning from Non-iid Data: Fast Rates for the One-vs-All Multiclass Plug-in Classifiers ⋮ Discrepancy-based theory and algorithms for forecasting non-stationary time series ⋮ User-friendly Introduction to PAC-Bayes Bounds ⋮ High-dimensional VAR with low-rank transition ⋮ Optimal learning with Bernstein Online Aggregation ⋮ On some recent advances on high dimensional Bayesian statistics

Uses Software

• R

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