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

DOI10.1214/15-AOS1345zbMATH Open1327.62478arXiv1404.6769OpenAlexW2103872473MaRDI QIDQ892242FDOQ892242

Christophe Giraud, Andres Sanchez-Perez, François Roueff

Publication date: 18 November 2015

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

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.

Full work available at URL: https://arxiv.org/abs/1404.6769

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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)

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Cited In (13)

• Functional Estimation and Change Detection for Nonstationary Time Series
• ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES
• Time-frequency analysis of locally stationary Hawkes processes
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• High-dimensional VAR with low-rank transition
• Simpler PAC-Bayesian bounds for hostile data
• Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes
• Hybrid Forecasting with Estimated Temporally Aggregated Linear Processes
• Stochastic online convex optimization. Application to probabilistic time series forecasting
• Time series adaptive online prediction method combined with modified LS-SVR and AGO
• Prediction of weakly locally stationary processes by auto-regression
• Prediction in Locally Stationary Time Series

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