Discrepancy-Based Theory and Algorithms for Forecasting Non-Stationary Time Series

被引：20

作者：

Kuznetsov, Vitaly ^{[1
]}

Mohri, Mehryar ^{[2
]}

机构：

[1] Google Res, 76 Ninth Ave, New York, NY 10011 USA

[2] Google Res & Courant Inst, 251 Mercer St, New York, NY 10012 USA

来源：

ANNALS OF MATHEMATICS AND ARTIFICIAL INTELLIGENCE | 2020年 / 88卷 / 04期

关键词：

Time series; Forecasting; Non-stationary; Non-mixing; Generalization bounds; Discrepancy; Expected sequential covering numbers; Sequential Rademacher complexity; CONVERGENCE; PREDICTION; BOUNDS;

D O I：

10.1007/s10472-019-09683-1

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

We present data-dependent learning bounds for the general scenario of non-stationary non-mixing stochastic processes. Our learning guarantees are expressed in terms of a data-dependent measure of sequential complexity and a discrepancy measure that can be estimated from data under some mild assumptions. Our learning bounds guide the design of new algorithms for non-stationary time series forecasting for which we report several favorable experimental results.

引用

页码：367 / 399

页数：33

共 50 条

[1] Discrepancy-Based Theory and Algorithms for Forecasting Non-Stationary Time Series
Vitaly Kuznetsov
Mehryar Mohri
Annals of Mathematics and Artificial Intelligence, 2020, 88 : 367 - 399
[2] Learning Theory and Algorithms for Forecasting Non-Stationary Time Series
Kuznetsov, Vitaly
Mohri, Mehryar
ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 28 (NIPS 2015), 2015, 28
[3] Forecasting smoothed non-stationary time series using genetic algorithms
Norouzzadeh, P.
Rahmani, B.
Norouzzadeh, M. S.
INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 2007, 18 (06): : 1071 - 1086
[4] Forecasting in non-stationary environments with fuzzy time series
de Lima e Silva, Petronio Candido
Severiano Junior, Carlos Alberto
Alves, Marcos Antonio
Silva, Rodrigo
Cohen, Miri Weiss
Guimaraes, Frederico Gadelha
APPLIED SOFT COMPUTING, 2020, 97
[5] Forecasting non-stationary economic time series.
Rothman, P
JOURNAL OF ECONOMIC LITERATURE, 2001, 39 (02) : 570 - 572
[6] Forecasting non-stationary economic time series.
Öller, LE
INTERNATIONAL JOURNAL OF FORECASTING, 2001, 17 (01) : 133 - 134
[7] Non-stationary financial time series forecasting based on meta-learning
Hong, Anqi
Gao, Minghan
Gao, Qiang
Peng, Xiao-Hong
ELECTRONICS LETTERS, 2023, 59 (01)
[8] Non-stationary Transformers: Exploring the Stationarity in Time Series Forecasting
Liu, Yong
Wu, Haixu
Wang, Jianmin
Long, Mingsheng
ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 35 (NEURIPS 2022), 2022,
[9] Forecasting non-stationary time series by wavelet process modelling
Piotr Fryzlewicz
Sébastien Van Bellegem
Rainer von Sachs
Annals of the Institute of Statistical Mathematics, 2003, 55 : 737 - 764
[10] Forecasting non-stationary time series by wavelet process modelling
Fryzlewicz, P
Van Bellegem, S
von Sachs, R
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2003, 55 (04) : 737 - 764

← 1 2 3 4 5 →