Prediction of random variables by excursion metric projections

MaRDI QIDQ6403748zbMATH OpenFDO

Authors Vitalii Makogin, Evgeny Spodarev

Publication date 1 July 2022

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Stationary stochastic processes (60G10) Stable stochastic processes (60G52)

Abstract: We use the concept of excursions for the prediction of random variables without any moment existence assumptions. To do so, an excursion metric on the space of random variables is defined which appears to be a kind of a weighted $L^1$-distance. Using equivalent forms of this metric and the specific choice of excursion levels, we formulate the prediction problem as a minimization of a certain target functional which involves the excursion metric. Existence of the solution and weak consistency of the predictor are discussed. An application to the extrapolation of stationary heavy-tailed random functions illustrates the use of the aforementioned theory. Numerical experiments with the prediction of Gaussian, $alpha$-stable and further heavy--tailed time series round up the paper.

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