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Please use this identifier to cite or link to this item: https://elib.bsu.by/handle/123456789/182976
Title: Robustness in Statistical Forecasting
Authors: Kharin, Yu.
Issue Date: 2013
Publisher: Switzerland: Springer International Publishing
Abstract: Statistical forecasting procedures are used to solve many applied problems in engineering, economics, finance, medicine, environmental studies, etc. For the majority of the developed statistical forecasting procedures, optimality (or asymptotic optimality as observation time increases) is proved w.r.t. the mean square forecast risk under the assumptions of an underlying hypothetical model. In practice, however, the observed data usually deviates from hypothetical models: random observation errors may be non-Gaussian, correlated, or inhomogeneous; the data may be contaminated by outliers, level shifts, or missing values; trend, regression, and autoregression functions do not necessarily belong to the declared parametric families, etc. Unfortunately, the forecasting procedures which have been proved to be optimal under the hypothetical model often become unstable under even small model distortions, resulting in forecast risks or mean square errors which are significantly higher than the theoretical values obtained in the absence of distortion. This necessitates the development of robust statistical algorithms, which are designed to retain most of their properties under small deviations from model assumptions.
Description: © Springer International Publishing Switzerland 2013 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.
URI: http://elib.bsu.by/handle/123456789/182976
ISBN: 978-30319-00839-4
Appears in Collections:Монографии факультета прикладной математики и информатики

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