Model selection for weakly dependent time series forecasting
Alquier, Pierre; Wintenberger, Olivier (2012), Model selection for weakly dependent time series forecasting, Bernoulli, 18, 3, p. 883-913. http://dx.doi.org/10.3150/11-BEJ359
Type
Article accepté pour publication ou publiéLien vers un document non conservé dans cette base
http://hal.archives-ouvertes.fr/hal-00362151Date
2012Nom de la revue
BernoulliVolume
18Numéro
3Éditeur
Bernoulli Society for Mathematical Statistics and Probability
Pages
883-913
Identifiant publication
Métadonnées
Afficher la notice complèteRésumé (EN)
Observing a stationary time series, we propose a two-steps procedure for the prediction of its next value. The first step follows machine learning theory paradigm and consists in determining a set of possible predictors as randomized estimators in (possibly numerous) different predictive models. The second step follows the model selection paradigm and consists in choosing one predictor with good properties among all the predictors of the first step. We study our procedure for two different types of observations: causal Bernoulli shifts and bounded weakly dependent processes. In both cases, we give oracle inequalities: the risk of the chosen predictor is close to the best prediction risk in all predictive models that we consider. We apply our procedure for predictive models as linear predictors, neural networks predictors and nonparametric autoregressive predictors.Mots-clés
adaptative inference; aggregation of estimators; autoregression estimation; model selection; randomized estimators; statistical learning; time series prediction; weak dependencePublications associées
Affichage des éléments liés par titre et auteur.
-
Wintenberger, Olivier; Alquier, Pierre (2009) Communication / Conférence
-
Wintenberger, Olivier (2010) Article accepté pour publication ou publié
-
Wintenberger, Olivier; Alquier, Pierre (2012) Document de travail / Working paper
-
Wintenberger, Olivier; Li, Xiaoyin; Alquier, Pierre (2013) Article accepté pour publication ou publié
-
Cai, Sixiang; Wintenberger, Olivier (2011) Communication / Conférence