• Corpus ID: 250243739

Prediction of random variables by excursion metric projections

@inproceedings{Makogin2022PredictionOR,
  title={Prediction of random variables by excursion metric projections},
  author={Vitalii Makogin and E. Spodarev},
  year={2022}
}
We use the concept of excursions for the prediction of random variables without any moment existence assumption. To do so, an excursion metric on the space of random variables is defined which appears to be a kind of a weighted L 1 -distance. Using equivalent forms of this metric and a specific choice of excursion levels, we formulate the prediction problem as a minimization of a certain target functional. Existence and uniqueness of the solution are discussed. An application to the extrapolation… 

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