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# Christian BROWNLEES (Universitat Pompeu Fabra, Barcelona) “Empirical Risk Minimization for Time Series”

May 27, 2021 @ 11:00 am - 12:00 pm
The Financial Econometrics Seminar:
Time: 11:00 pm
Date: 27th of May 2021
by Zoom

Christian BROWNLEES (Universitat Pompeu Fabra, Barcelona) “Empirical Risk Minimization for Time Series”

Abstract :Empirical risk minimization is a standard principle for choosing algorithms in learning theory. In this paper we study empirical risk minimization for choosing a recursive prediction algorithm to forecast a univariate time series.
The class of algorithms we consider includes 1-step-ahead prediction formulae of ARMA and GARCH models. The analysis is nonparametric in the sense that the relation between the prediction algorithm and the time series is assumed to be unknown. We establish performance bounds for empirical risk minimization based on a companion Markov chain that embeds the time series and the prediction algorithm.

This is a joint work : with Jordi Llorens-Terrazas.

Organizers:

Jean-Michel ZAKOIAN  (CREST)