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Statistics - Statistical Theory and Methods | Robustness in Statistical Forecasting

Robustness in Statistical Forecasting

Kharin, Yuriy

2013, XVI, 356 p. 47 illus.

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  • The first book with a specific focus on robustness of time series forecasting
  • Evaluates sensitivity of the forecast risks to distortions and presents new robust forecasting procedures
  • Presentation of the material follows the pattern “model → method → algorithm → computation results based on simulated / real-world data”     ​

Traditional procedures in the statistical forecasting of time series, which are proved to be optimal under the hypothetical model, are often not robust under relatively small distortions (misspecification, outliers, missing values, etc.), leading to actual forecast risks (mean square errors of prediction) that are much higher than the theoretical values. This monograph fills a gap in the literature on robustness in statistical forecasting, offering solutions to the following topical problems:

- developing mathematical models and descriptions of typical distortions in applied forecasting problems;

- evaluating the robustness for traditional forecasting procedures under distortions;

- obtaining the maximal distortion levels that allow the “safe” use of the traditional forecasting algorithms;

- creating new robust forecasting procedures to arrive at risks that are less sensitive to definite distortion types.      

Content Level » Research

Keywords » 62-02, 62M20, 62M10, 62G35, 62-07, 62F35, 62C20, 62P20 - forecasting - model distortion - risk - robustness - time series

Related subjects » Business, Economics & Finance - Computational Intelligence and Complexity - Physical & Information Science - Probability Theory and Stochastic Processes - Statistical Theory and Methods

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