Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes

DOI10.1214/15-AOS1345MaRDI QIDQ892242zbMATH OpenOpenAlexFDO

Authors Christophe Giraud, François Roueff, Andres Sanchez-Perez

Publication date 18 November 2015

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.6769, https://projecteuclid.org/euclid.aos/1444222080

zbMATH Keywords

online learningnonstationary time seriesadaptive predictionexponential weighted aggregationtime varying autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Online algorithms; streaming algorithms (68W27) Nonparametric inference (62G99)

Abstract: In this work, we study the problem of aggregating a finite number of predictors for nonstationary sub-linear processes. We provide oracle inequalities relying essentially on three ingredients: (1) a uniform bound of the $el{l}^1$ norm of the time varying sub-linear coefficients, (2) a Lipschitz assumption on the predictors and (3) moment conditions on the noise appearing in the linear representation. Two kinds of aggregations are considered giving rise to different moment conditions on the noise and more or less sharp oracle inequalities. We apply this approach for deriving an adaptive predictor for locally stationary time varying autoregressive (TVAR) processes. It is obtained by aggregating a finite number of well chosen predictors, each of them enjoying an optimal minimax convergence rate under specific smoothness conditions on the TVAR coefficients. We show that the obtained aggregated predictor achieves a minimax rate while adapting to the unknown smoothness. To prove this result, a lower bound is established for the minimax rate of the prediction risk for the TVAR process. Numerical experiments complete this study. An important feature of this approach is that the aggregated predictor can be computed recursively and is thus applicable in an online prediction context.

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Cited in

(13)

• Prediction in Locally Stationary Time Series
• Functional Estimation and Change Detection for Nonstationary Time Series
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