Robustness in Statistical Forecasting

• Main Author: Kharin, Yuriy (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2013.
• Subjects: Statistics.; Probabilities.; Applied mathematics.; Engineering mathematics.; Statistical Theory and Methods.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.; Appl.Mathematics/Computational Methods of Engineering.

Traditional procedures in the statistical forecasting of time series, which are proved to be optimal under the hypothetical model, are often not robust under relatively small distortions (misspecification, outliers, missing values, etc.), leading to actual forecast risks (mean square errors of predi...