Sequential Quantile Prediction of Time Series

DOI10.1109/TIT.2011.2104610zbMath1366.62171arXiv0908.2503OpenAlexW2951290852MaRDI QIDQ5281046

Benoît Patra, Gérard Biau

Publication date: 27 July 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.2503

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

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Stochastic online convex optimization. Application to probabilistic time series forecasting ⋮ Prediction of time series by statistical learning: general losses and fast rates

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