Robustness in Statistical Forecasting

• Κύριος συγγραφέας: Kharin, Yuriy (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2013.
• Θέματα: 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...

Πίνακας περιεχομένων:

• Preface
• Symbols and Abbreviations
• Introduction
• A Decision-Theoretic Approach to Forecasting
• Time Series Models of Statistical Forecasting
• Performance and Robustness Characteristics in Statistical Forecasting
• Forecasting under Regression Models of Time Series
• Robustness of Time Series Forecasting Based on Regression Models
• Optimality and Robustness of ARIMA Forecasting
• Optimality and Robustness of Vector Autoregression Forecasting under Missing Values
• Robustness of Multivariate Time Series Forecasting Based on Systems of Simultaneous Equations
• Forecasting of Discrete Time Series
• Index.