Sequential Quantile Prediction of Time Series

DOI10.1109/TIT.2011.2104610MaRDI QIDQ5281046zbMATH OpenOpenAlexFDO

Authors Gérard Biau, Benoît Patra

Publication date 27 July 2017

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

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)

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

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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