Long-Term Prediction Intervals of Time Series

被引：17

作者：

Zhou, Zhou ^{[1
]}

Xu, Zhiwei ^{[3
]}

Wu, Wei Biao ^{[2
]}

机构：

[1] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada

[2] Univ Chicago, Dept Stat, Chicago, IL 60637 USA

[3] Univ Michigan, Dept Comp & Informat Sci, Dearborn, MI 48128 USA

来源：

IEEE TRANSACTIONS ON INFORMATION THEORY | 2010年 / 56卷 / 03期

关键词：

Empirical quantiles; heavy tails; long-memory; long-run prediction; quenched central limit theory; SEQUENTIAL PREDICTION; UNIVERSAL SCHEMES;

D O I：

10.1109/TIT.2009.2039158

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We consider the problem of predicting aggregates or sums of future values of a process based on its past values. In contrast with the conventional prediction problem in which one predicts a future value given past values of the process, in our setting the number of aggregates can go to infinity with respect to the number of available observations. Consistency and Bahadur representations of the prediction estimators are established. A simulation study is carried out to assess the performance of different prediction estimators.

引用

页码：1436 / 1446

页数：11

共 50 条

[41] A Toy Model Study for Long-Term Terror Event Time Series Prediction with CNN
Aishvarya Kumar Jain
Christian Grumber
Patrick Gelhausen
Ivo Häring
Alexander Stolz
European Journal for Security Research, 2020, 5 (2) : 289 - 309
[42] Evolutionary echo state network for long-term time series prediction: on the edge of chaos
Zhang, Gege
Zhang, Chao
Zhang, WeiDong
APPLIED INTELLIGENCE, 2020, 50 (03) : 893 - 904
[43] Long-term prediction of small time-series data using generalized distillation
Hayashi S.
Tanimoto A.
Kashima H.
Transactions of the Japanese Society for Artificial Intelligence, 2020, 35 (05) : 1 - 9
[44] Long-Term Prediction of Small Time-Series Data Using Generalized Distillation
Hayashi, Shogo
Tanimoto, Akira
Kashima, Hisashi
2019 INTERNATIONAL JOINT CONFERENCE ON NEURAL NETWORKS (IJCNN), 2019,
[45] Bootstrap prediction intervals for autoregressive time series
Clements, Michael P.
Kim, Jae H.
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2007, 51 (07) : 3580 - 3594
[46] xLSTMTime: Long-Term Time Series Forecasting with xLSTM
Alharthi, Musleh
Mahmood, Ausif
AI, 2024, 5 (03) : 1482 - 1495
[47] A fuzzy model for long-term financial time series
Watanabe, N
Kuwabara, M
PROCEEDINGS OF THE NINTH IASTED INTERNATIONAL CONFERENCE ON ARTIFICIAL INTELLIGENCE AND SOFT COMPUTING, 2005, : 76 - 81
[48] Long-term time series reversal: International evidence
Kobinger, Sonja
Bornholt, Graham
Malin, Mirela
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2020, 65
[49] Long-term prediction of time series based on VMD cyclic reservoir with random jumps network
Han M.
Jiang T.
Feng S.-B.
Kongzhi yu Juece/Control and Decision, 2020, 35 (09): : 2175 - 2181
[50] PMformer: A novel informer-based model for accurate long-term time series prediction
Xue, Yuewei
Guan, Shaopeng
Jia, Wanhai
INFORMATION SCIENCES, 2025, 690

← 1 2 3 4 5 →