Sequential Quantile Prediction of Time Series

DOI10.1109/TIT.2011.2104610zbMATH Open1366.62171arXiv0908.2503OpenAlexW2951290852MaRDI QIDQ5281046FDOQ5281046

Authors: Gérard Biau, Benoît Patra 

Publication date: 27 July 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: Motivated by a broad range of potential applications, we address the quantile prediction problem of real-valued time series. We present a sequential quantile forecasting model based on the combination of a set of elementary nearest neighbor-type predictors called "experts" and show its consistency under a minimum of conditions. Our approach builds on the methodology developed in recent years for prediction of individual sequences and exploits the quantile structure as a minimizer of the so-called pinball loss function. We perform an in-depth analysis of real-world data sets and show that this nonparametric strategy generally outperforms standard quantile prediction methods

Full work available at URL: https://arxiv.org/abs/0908.2503

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Cited In (3)

• Stochastic online convex optimization. Application to probabilistic time series forecasting
• MULTI-STAGE KERNEL-BASED CONDITIONAL QUANTILE PREDICTION IN TIME SERIES
• Prediction of time series by statistical learning: general losses and fast rates

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