| EPSRC Reference: |
GR/L67561/01 |
| Title: |
MINIMUM VOLUME SETS APPROACH TO NONLINEAR PREDICTION |
| Principal Investigator: |
Yao, Professor Q |
| Other Investigators: |
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| Project Partners: |
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| Department: |
Sch of Maths Statistics & Actuarial Sci |
| Organisation: |
University of Kent |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
18 August 1997 |
Ends: |
17 August 1998 |
Value (£): |
2,040
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| EPSRC Research Topic Classifications: |
| Statistics & Appl. Probability |
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| EPSRC Industrial Sector Classifications: |
| No relevance to Underpinning Sectors |
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Summary on Grant Application Form |
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With increasing computer power has come an increasing demand for tools that can identify the underlying structure and predict the future up to a new standard of accuracy. This has led to a rapid development in theory and application of nonlinear time series. In the context of prediction, the possible skewness and multi-modality of the underlying predictive distribution rule out the direct use of classical techniques based on Gaussian modelling. Interval/region predictors with the minimum volume are more pertinent. This project will develop a relevant statistical methodology for interval/region prediction for nonlinear (non-Gaussian) time series data. Asymptotic theory of the estimated predictors and their functionals will be established, which will also case light on how to choose smooth parameters in practical implementation. We aim to gain a much fuller appreciation of various methods through both theoretical exploration and practical applications with real time series data. It is anticipated that the proposed research will also lay down a foundation for further inference on the shape of the predictive distributions.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.kent.ac.uk |