Robustness in Statistical Forecasting

Authors: Kharin, Yuriy

  • 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”     ​
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eBook $89.00
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  • ISBN 978-3-319-00840-0
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  • Immediate eBook download after purchase
Hardcover $119.00
price for USA
  • ISBN 978-3-319-00839-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $119.00
price for USA
  • ISBN 978-3-319-34568-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
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About this book

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.                

About the authors

Yuriy Kharin is Chairman of the Department of Mathematical Modeling & Data Analysis, Director of the Research Institute for Applied Problems of Mathematics & Informatics at the Belarusian State University. He completed his Ph.D. in Math. Sci. at the Tomsk State University in 1974 and his Dr. Sci. in Math. Sci. at the USSR Academy of Sciences in 1986. His research interests include mathematical and applied statistics, robust statistics, and statistical forecasting. He is founder and first President of the Belarusian Statistical Association (1998), Laureate of National Science Prize (2002), and a Correspondent Member of the National Academy of Sciences of Belarus (2004).

Reviews

From the reviews:

“The book is intended for mathematicians, statisticians and software developers in applied mathematics, computer science, data analysis, and econometrics, among other topics. It is a good text for advanced undergraduate and postgraduate students of the mentioned disciplines.” (Oscar Bustos, zbMATH, Vol. 1281, 2014)


Table of contents (10 chapters)

  • Introduction

    Kharin, Yuriy

    Pages 1-5

  • A Decision-Theoretic Approach to Forecasting

    Kharin, Yuriy

    Pages 7-29

  • Time Series Models of Statistical Forecasting

    Kharin, Yuriy

    Pages 31-53

  • Performance and Robustness Characteristics in Statistical Forecasting

    Kharin, Yuriy

    Pages 55-72

  • Forecasting Under Regression Models of Time Series

    Kharin, Yuriy

    Pages 73-104

Buy this book

eBook $89.00
price for USA (gross)
  • ISBN 978-3-319-00840-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $119.00
price for USA
  • ISBN 978-3-319-00839-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $119.00
price for USA
  • ISBN 978-3-319-34568-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Robustness in Statistical Forecasting
Authors
Copyright
2013
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-00840-0
DOI
10.1007/978-3-319-00840-0
Hardcover ISBN
978-3-319-00839-4
Softcover ISBN
978-3-319-34568-0
Edition Number
1
Number of Pages
XVI, 356
Number of Illustrations and Tables
47 b/w illustrations
Topics