Nonparametric risk bounds for time-series forecasting

zbMath1437.62337arXiv1212.0463MaRDI QIDQ5361293

Daniel J. McDonald, Mark J. Schervish, Cosma Rohilla Shalizi

Publication date: 27 September 2017

Full work available at URL: https://arxiv.org/abs/1212.0463

zbMATH Keywords

model selectionVC dimensionstate-space modelsgeneralization errorlinear time-invariant systemsprediction risk

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Economic time series analysis (91B84)

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