2 papers
math.ST2012
Prediction of time series by statistical learning: general losses and fast rates
Pierre Alquier, Xiaoyin Li, Olivier Wintenberger
We establish rates of convergences in time series forecasting using the statistical learning approach based on oracle inequalities. A series of papers extends the oracle inequaliti…
math.ST2012
Prediction of quantiles by statistical learning and application to GDP forecasting
Pierre Alquier, Xiaoyin Li
In this paper, we tackle the problem of prediction and confidence intervals for time series using a statistical learning approach and quantile loss functions. In a first time, we s…