Nonparametric sequential prediction of time series

DOI10.1080/10485250802680730zbMATH Open1189.62152arXiv0801.0327OpenAlexW2949215295MaRDI QIDQ3569202FDOQ3569202

Authors: Gérard Biau, Kevin Bleakley, László Györfi, György Ottucsàk 

Publication date: 18 June 2010

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0801.0327

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zbMATH Keywords

kernel estimationtime seriesuniversal consistencynearest neighbour estimationsequential predictiongeneralised linear estimates

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Sequential estimation (62L12)

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Cited In (13)

• Nonparametric time series prediction through adaptive model selection
• Nonparametric time series forecasting with dynamic updating
• Title not available (Why is that?)
• An open problem on strongly consistent learning of the best prediction for Gaussian processes
• Nonparametric sequential prediction of stationary time series
• On the non-parametric prediction of conditionally stationary sequences
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• Kernel-based prediction of non-Markovian time series
• Combining nonparametric and optimal linear time series predictions
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• Compression-Based Methods for Nonparametric Prediction and Estimation of Some Characteristics of Time Series
• Functional methods for time series prediction: a nonparametric approach
• Prediction and classification of non-stationary categorical time series

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