2 papers
stat.ML2026
ProbRes: Volatility Learning for Probabilistic Time-Series Forecasting
Tingting Wang, Yunyi Zhang, Benyou Wang
Probabilistic time series forecasting has attracted increasing attention in financial applications due to the need to quantify risk and uncertainty in future observations. We propo…
math.ST2019
Semi-parametric estimation and prediction intervals in state space models
Yunyi Zhang, Tingting Wang, Dimitris N. Politis
Literatures in state space models focus on parametric inference and prediction, which fail if the state space model is not fully specified and the maximum likelihood estimation doe…