Prediction in Riemannian metrics derived from divergence functions

DOI10.1080/03610926.2020.1752384MaRDI QIDQ5079256zbMATH OpenOpenAlexFDO

Authors Henryk Gzyl

Publication date 25 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.01638

zbMATH Keywords

Bregman divergenceRiemannian distancesgeneralized best predictorshessian metricsprediction in non-euclidean metrics

Mathematics Subject Classification ID

Statistics (62-XX) Prediction theory (aspects of stochastic processes) (60G25) Foundational topics in statistics (62A99) Least squares and related methods for stochastic control systems (93E24) Stochastic processes (60G99)

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• A predictive approach to quantiles: application to value at risk and tail value at risk

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