Quantile prediction for time series in the fraction-of-time probability framework. (Q1853345)

The aim of this work is to introduce the concept of the quantile and propose its prediction algorithms using the fraction-of-time probability approach. In such an approach, unlike the classical one based on stochastic processes, statistical functions and probability concepts are defined starting from a single observed time series instead of an ensemble of realizations of a stochastic process. Two prediction algorithms based on a single observed time series and without any distributional assumption are proposed. The former is devoted to deal with statistics not depending on time (stationary case) whereas the latter considers statistics that depend on time (nonstationary case). Convergence and estimation accuracy issues are considered in the paper without checking the usual mixing assumptions, used in the classical stochastic approach. Moreover, applications to the design of constant false-alarm rate radar processors and the analysis of real financial data are presented.