Nearly Unstable Processes: A Prediction Perspective

DOI10.5705/ss.202016.0069zbMath1412.62124OpenAlexW2625819322MaRDI QIDQ4626682

Ngai Hang Chan, Ching-Kang Ing, Rong Mao Zhang

Publication date: 28 February 2019

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202016.0069

zbMATH Keywords

mean squared prediction errorleast squares predictorquantum leapextreme-value predictornearly unstable processpositive error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

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