Robust multivariate Bayesian forecasting under functional distortions in the \(\chi^2\)-metric

DOI10.1016/j.jspi.2009.05.022zbMath1169.62018MaRDI QIDQ840743

Pavel A. Shlyk, Alexey Yu. Kharin

Publication date: 14 September 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.05.022

zbMATH Keywords

\(\chi^{2}\)-pseudo-metric; functional distortions; multivariate Bayesian forecasting; robust procedures

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62H12: Estimation in multivariate analysis

62F15: Bayesian inference

62F35: Robustness and adaptive procedures (parametric inference)

62C20: Minimax procedures in statistical decision theory

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