Robustness of the Mean Square Risk in Forecasting of Regression Time Series

DOI10.1080/03610926.2011.562774zbMath1227.62079OpenAlexW1999119079MaRDI QIDQ3098926

Yuriy S. Kharin

Publication date: 18 November 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.562774

zbMATH Keywords

riskregressiondistortions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Statistical analysis of conditionally binomial nonlinear regression time series with discrete regressors ⋮ Statistical estimation of parameters for binary conditionally nonlinear autoregressive time series ⋮ Performance and robustness evaluation in sequential hypotheses testing ⋮ ML estimation of multiple regression parameters under classification of the dependent variable

Cites Work

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• Descriptive statistics for multivariate distributions
• Statistical decision theory and Bayesian analysis. 2nd ed
• A survey of robust statistics
• Robust Statistics
• Robust Statistics

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