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

DOI10.1016/S0165-1684(02)00334-1zbMATH Open1093.94501OpenAlexW2019608770MaRDI QIDQ1853345FDOQ1853345

Authors: Jacek Leśkow, Antonio Napolitano 

Publication date: 21 January 2003

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1684(02)00334-1

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zbMATH Keywords

Quantile predictionCFAR processorsFraction-of-time probability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (4)

• Title not available (Why is that?)
• MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Application of quantum probability

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