14 citations · 14 across the 2 of their papers we have counts for
3 papers
math.ST2016
Prediction of weakly locally stationary processes by auto-regression
François Roueff, Andres Sanchez-Perez
In this contribution we introduce weakly locally stationary time series through the local approximation of the non-stationary covariance structure by a stationary one. This allows…
math.ST2014★ 14 cited
Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes
Christophe Giraud, François Roueff, Andres Sanchez-Perez
In this work, we study the problem of aggregating a finite number of predictors for nonstationary sub-linear processes. We provide oracle inequalities relying essentially on three…
math.ST2013
Time series prediction via aggregation : an oracle bound including numerical cost
Andres Sanchez-Perez
We address the problem of forecasting a time series meeting the Causal Bernoulli Shift model, using a parametric set of predictors. The aggregation technique provides a predictor w…