Nearly unstable processes: a prediction perspective

DOI10.5705/SS.202016.0069MaRDI QIDQ4626682zbMATH OpenOpenAlexFDO

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

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)

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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
• scientific article; zbMATH DE number 3999094 (Why is no real title available?)
• Unpredictable nearest neighbor processes

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