04418nam 22007215 450 991043803050332120220413190446.03-319-00840-410.1007/978-3-319-00840-0(CKB)3710000000019087(EBL)1474340(OCoLC)861528599(SSID)ssj0001010524(PQKBManifestationID)11577423(PQKBTitleCode)TC0001010524(PQKBWorkID)10999468(PQKB)10896809(DE-He213)978-3-319-00840-0(MiAaPQ)EBC1474340(PPN)17242299X(EXLCZ)99371000000001908720130903d2013 u| 0engur|n|---|||||txtccrRobustness in statistical forecasting /by Yuriy Kharin1st ed. 2013.Cham :Springer International Publishing :Imprint: Springer,2013.1 online resource (369 p.)Description based upon print version of record.3-319-00839-0 Includes bibliographical references and index.Preface -- Symbols and Abbreviations -- Introduction -- A Decision-Theoretic Approach to Forecasting -- Time Series Models of Statistical Forecasting -- Performance and Robustness Characteristics in Statistical Forecasting -- Forecasting under Regression Models of Time Series -- Robustness of Time Series Forecasting Based on Regression Models -- Optimality and Robustness of ARIMA Forecasting -- Optimality and Robustness of Vector Autoregression Forecasting under Missing Values -- Robustness of Multivariate Time Series Forecasting Based on Systems of Simultaneous Equations -- Forecasting of Discrete Time Series -- Index.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.      .Statistics ProbabilitiesApplied mathematicsEngineering mathematicsStatistical Theory and Methodshttps://scigraph.springernature.com/ontologies/product-market-codes/S11001Probability Theory and Stochastic Processeshttps://scigraph.springernature.com/ontologies/product-market-codes/M27004Statistics for Business, Management, Economics, Finance, Insurancehttps://scigraph.springernature.com/ontologies/product-market-codes/S17010Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Scienceshttps://scigraph.springernature.com/ontologies/product-market-codes/S17020Mathematical and Computational Engineeringhttps://scigraph.springernature.com/ontologies/product-market-codes/T11006Statistics .Probabilities.Applied mathematics.Engineering mathematics.Statistical Theory and Methods.Probability Theory and Stochastic Processes.Statistics for Business, Management, Economics, Finance, Insurance.Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.Mathematical and Computational Engineering.330.015195519519.2519.5Kharin Yuriyauthttp://id.loc.gov/vocabulary/relators/aut1060665BOOK9910438030503321Robustness in Statistical Forecasting2514807UNINA