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Robustness in Statistical Forecasting
53,49 €*
ISBN-13:
9783319008400
Veröffentl:
2013
Seiten:
356
Autor:
Yuriy Kharin
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
Beschreibung:
Traditional procedures in the statistical forecasting of time series, which are proved to be optimal under the hypothetical model, are often not robust under relatively small distortions (misspecification, outliers, missing values, etc.), leading to actual forecast risks (mean square errors of prediction) that are much higher than the theoretical values. This monograph fills a gap in the literature on robustness in statistical forecasting, offering solutions to the following topical problems:
This book examines robustness of time series forecasting. It evaluates sensitivity of the forecast risks to distortions and presents new robust forecasting procedures.
Preface.- Symbols and Abbreviations.- Introduction.- A Decision-Theoretic Approach to Forecasting.- Time Series Models of Statistical Forecasting.- Performance and Robustness Characteristics in Statistical Forecasting.- Forecasting under Regression Models of Time Series.- Robustness of Time Series Forecasting Based on Regression Models.- Optimality and Robustness of ARIMA Forecasting.- Optimality and Robustness of Vector Autoregression Forecasting under Missing Values.- Robustness of Multivariate Time Series Forecasting Based on Systems of Simultaneous Equations.- Forecasting of Discrete Time Series.- Index. ¿