Nonparametric sequential prediction of time series
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generalised linear estimateskernel estimationnearest neighbour estimationsequential predictiontime seriesuniversal consistency
Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)
Abstract: Time series prediction covers a vast field of every-day statistical applications in medical, environmental and economic domains. In this paper we develop nonparametric prediction strategies based on the combination of a set of 'experts' and show the universal consistency of these strategies under a minimum of conditions. We perform an in-depth analysis of real-world data sets and show that these nonparametric strategies are more flexible, faster and generally outperform ARMA methods in terms of normalized cumulative prediction error.
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Cited in
(15)- Prediction and classification of non-stationary categorical time series
- Nonparametric time series prediction through adaptive model selection
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