Robustness in Statistical Forecasting - Softcover

Kharin, Yuriy

Softcover

ISBN 10: 3319345680 ISBN 13: 9783319345680

Publisher: Springer, 2016

Synopsis

This book examines robustness of time series forecasting. It evaluates sensitivity of the forecast risks to distortions and presents new robust forecasting procedures.

About this title

About the Author

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).

From the Back Cover

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.

Edition details

• Publisher: Springer
• Publication date: 2016
• Language: English
• ISBN 10: 3319345680
• ISBN 13: 9783319345680
• Binding: Paperback
• Number of pages: 372