Robustness in Statistical Forecasting
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Robustness in Statistical Forecasting

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ISBN-13:
9783319008400
Einband:
eBook
Seiten:
356
Autor:
Yuriy Kharin
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
Beschreibung:

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. ¿
This book offers solutions to such topical problems as developing mathematical models and descriptions of typical distortions in applied forecasting problems; evaluating robustness for traditional forecasting procedures under distortionism and more.

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