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

DOI10.1214/15-AOS1345zbMath1327.62478arXiv1404.6769MaRDI QIDQ892242

Christophe Giraud, Andres Sanchez-Perez, François Roueff

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

zbMATH Keywords

online learning; nonstationary time series; adaptive prediction; exponential weighted aggregation; time varying autoregressive processes

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G99: Nonparametric inference

68W27: Online algorithms; streaming algorithms

Related Items

Prediction of weakly locally stationary processes by auto-regression, ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES, Functional Estimation and Change Detection for Nonstationary Time Series, Stochastic online convex optimization. Application to probabilistic time series forecasting, Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes, Simpler PAC-Bayesian bounds for hostile data, Time-frequency analysis of locally stationary Hawkes processes, High-dimensional VAR with low-rank transition, Cross validation for locally stationary processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Model selection for weakly dependent time series forecasting
• Empirical spectral processes for locally stationary time series
• On recursive estimation for time varying autoregressive processes
• Concentration inequalities and model selection. Ecole d'Eté de Probabilités de Saint-Flour XXXIII -- 2003.
• Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes
• Weakly dependent chains with infinite memory
• Time series: theory and methods.
• Combining different procedures for adaptive regression
• Mixing strategies for density estimation.
• Functional aggregation for nonparametric regression.
• Statistical learning theory and stochastic optimization. Ecole d'Eté de Probabilitiés de Saint-Flour XXXI -- 2001.
• On the Kullback-Leibler information divergence of locally stationary processes
• Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
• Fast learning rates in statistical inference through aggregation
• Local inference for locally stationary time series based on the empirical spectral measure
• Adaptive Minimax Estimation over Sparse $\ell_q$-Hulls
• Sequential Adaptive Estimators in Nonparametric Autoregressive Models
• Information Theory and Mixing Least-Squares Regressions
• RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA
• COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
• Learning Theory and Kernel Machines
• Prediction, Learning, and Games
• Introduction to nonparametric estimation
• Sparse estimation by exponential weighting