Yuriy Kharin
eBook, PDF

Robustness in Statistical Forecasting (eBook, PDF)

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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 problem...

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