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Estimation non paramétrique des valeurs quantiles d'une série temporelle

Abstract : Time series forecasting applies to a large variety of problems. In order to forecast future values of a time series, it is frequently more robust to use an estimator based on the median or, more generally, based on a quantile. In this talk, we develop strategies for non-parametric sequential quantile forecasting. We prove the convergence of our strategies under weak assumptions when considering an expert-aggregation strategy relying on Nearest Neighbors experts. To conclude, those strategies are empirically evaluated against real world data - a call center call volume data set.
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Submitted on : Friday, May 22, 2009 - 9:06:20 AM
Last modification on : Monday, February 15, 2021 - 10:37:45 AM
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  • HAL Id : inria-00386604, version 1


Benoît Patra. Estimation non paramétrique des valeurs quantiles d'une série temporelle. 41èmes Journées de Statistique, SFdS, Bordeaux, 2009, Bordeaux, France, France. ⟨inria-00386604⟩



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