Geodesic
On guaranteed forecast estimation
Vestnik Sankt-Peterburgskogo universiteta. Prikladnaâ matematika, informatika, processy upravleniâ, no. 4 (2014), pp. 82-96

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The paper formulates the problem of time series forecast definition with a given probability (guarantee). Two approaches to the task solution are offered. The first method is based on forecasting by a time-variant regression and a relevant histogram. The second method consists of preliminary calculation of a new time series of some statistics and creation of their forecast. The methods offered are used to determine the guaranteed characteristics of Brent oil price in 2013 year and to make a long-term forecast for 2014–2016 years. Bibliogr. 12. Il. 10.
Keywords: time series, forecast with guarantee, Brent oil price.
Mots-clés : regression, estimation by histogram 
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A. V. Prasolov; K. A. Zamuraev. On guaranteed forecast estimation. Vestnik Sankt-Peterburgskogo universiteta. Prikladnaâ matematika, informatika, processy upravleniâ, no. 4 (2014), pp. 82-96. http://geodesic.mathdoc.fr/item/VSPUI_2014_4_a8/