Sequential Quantile Prediction of Time Series

Motivated by a broad range of potential applications, we address the quantile prediction problem of real-valued time series. We present a sequential quantile forecasting model based on the combination of a set of elementary nearest neighbor-type predictors called “experts” and show its consistency under a minimum of conditions. Our approach builds on the methodology developed in recent years for prediction of individual sequences and exploits the quantile structure as a minimizer of the so-called pinball loss function. We perform an in-depth analysis of real-world data sets and show that this nonparametric strategy generally outperforms standard quantile prediction methods.

• Type: Journal
• Year: 2011
• Where: TIT
• Authors: Gérard Biau, Benoît Patra
• Keywords: Quantile Prediction, Quantile Prediction Methods, Quantile Prediction Problem, TIT 2011