Prediction of quantiles by statistical learning and application to GDP forecasting
From MaRDI portal
Abstract: In this paper, we tackle the problem of prediction and confidence intervals for time series using a statistical learning approach and quantile loss functions. In a first time, we show that the Gibbs estimator (also known as Exponentially Weighted aggregate) is able to predict as well as the best predictor in a given family for a wide set of loss functions. In particular, using the quantile loss function of Koenker and Bassett (1978), this allows to build confidence intervals. We apply these results to the problem of prediction and confidence regions for the French Gross Domestic Product (GDP) growth, with promising results.
This page was built for publication: Prediction of quantiles by statistical learning and application to GDP forecasting
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6231120)
