Model selection for weakly dependent time series forecasting

@inproceedings{Alquier2009ModelSF,
  title={Model selection for weakly dependent time series forecasting},
  author={Pierre Alquier and Olivier Wintenberger},
  year={2009}
}
  • Pierre Alquier, Olivier Wintenberger
  • Published 2009
  • Mathematics
  • Observing a stationary time series, we propose a two-step procedure for the predictionof the next value of the time series. The first step follows machine learning theory paradigmand consists in determining a set of possible predictors as randomized estimators in (possiblynumerous) different predictive models. The second step follows the model selection paradigmand consists in choosing one predictor with good properties among all the predictors of the firststeps. We study our procedure for two… CONTINUE READING

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