Nearly unstable processes: a prediction perspective

DOI10.5705/SS.202016.0069zbMATH Open1412.62124OpenAlexW2625819322MaRDI QIDQ4626682FDOQ4626682

Authors: Ngai Hang Chan, Ching-Kang Ing, Rong-Mao Zhang 

Publication date: 28 February 2019

Published in: STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202016.0069

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zbMATH Keywords

mean squared prediction errorleast squares predictorquantum leapextreme-value predictornearly unstable processpositive error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Inference from stochastic processes and prediction (62M20)

Cited In (6)

• On unstable and unoptimal prediction
• Nearly unstable integer‐valued ARCH process and unit root testing
• Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies
• PREDICTABILITY OF MULTIPLICATIVE PROCESSES: A PRELIMINARY STUDY
• Title not available (Why is that?)
• Unpredictable nearest neighbor processes

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