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Adaptive online forecasting of a locally stationary time varying autoregressive process

Christophe Giraud 1 François Roueff 2, 3 Andrés Sánchez Pérez 2, 3
1 LM-Orsay - Laboratoire de Mathématiques d'Orsay
2 S2A - Signal, Statistique et Apprentissage
LTCI - Laboratoire Traitement et Communication de l'Information
3 TSI - Département Traitement du Signal et des Images
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https://hal-imt.archives-ouvertes.fr/hal-01026582
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Submitted on : Monday, July 21, 2014 - 6:23:27 PM
Last modification on : Wednesday, September 30, 2020 - 8:54:15 AM

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INSTITUT-TELECOM | CNRS | INSMI | LM-ORSAY | PARISTECH | LTCI | IDS | S2A

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Christophe Giraud, François Roueff, Andrés Sánchez Pérez. Adaptive online forecasting of a locally stationary time varying autoregressive process. Statistical Inference for Complex Time Series Dat, Sep 2013, Oberwolfach, Germany. pp.53-56, ⟨10.4171/OWR/2013/48⟩. ⟨hal-01026582⟩

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