10 citations · 15 across the 5 of their papers we have counts for
Showing math.STShow all
2 papers · 1 filter
math.ST2022
Hold-out estimates of prediction models for Markov processes
Remy Garnier, Raphaël Langhendries, Joseph Rynkiewicz
We consider the selection of prediction models for Markovian time series. For this purpose, we study the theoretical properties of the hold-out method. In the econometrics literatu…
math.ST2019★ 10 cited
High dimensional VAR with low rank transition
Pierre Alquier, Karine Bertin, Paul Doukhan +1
We propose a vector auto-regressive (VAR) model with a low-rank constraint on the transition matrix. This new model is well suited to predict high-dimensional series that are highl…