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Joint Econometrics and Statistics Workshop

Quadratic Prediction Methodology and Calibration of Prediction Intervals Based on Subsampling

Soumen Lahiri (Washington University in St Louis)

Wednesday 01 June 2022 14:00 - 15:00

Many of our seminars and public events this year will continue as in person or as hybrid (online and in person) events. Please check our website listings and Twitter feed @STICERD_LSE for updates.

Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.


About this event

We consider nonlinear prediction of a stationary time series using quadratic functions of the past data. We derive explicit formulae for the best quadratic predictor and its MSPE. We also give conditions under which the quadratic approach improves over the standard linear case and provide a complete characterization for such processes. We next consider the problem of constructing asymptotically valid prediction intervals based on a general point predictor. While much of the existing literature either assumes a parametric time series model or makes specific distributional assumptions (e.g., Gaussian), this work relaxes both and develops a nonparametric method that is applicable to a general stationary sequence. Specifically, we propose a Subsampling method for constructing distribution free prediction intervals for linear and nonlinear prediction methods and establish its validity. For the case of best linear predictor, we also derive the optimal rate of the subsample block size. The results in the prediction context are very nonstandard when compared with the known results on optimal block sizes for the Block Bootstrap/Subsampling in standard variance estimation problems. Finite sample properties of the proposed method are illustrated with simulation. This is joint work with Dhrubajyoti Ghosh, Tucker McElroy and Daniel Nordman. You can attend the seminar on Zoom: https://lse.zoom.us/j/81827052506?pwd=-ZKSJTlQIyNmiHstDDmSeaUWxq8mhQ.1

Econometrics and Statistics seminars are held on Fridays in term time at 12:00-13:00, ONLINE, unless specified otherwise.

Seminar organisers: Dr Tatiana Komarova and Dr Yunxiao Chen.

For further information please contact Lubala Chibwe, either by email: l.chibwe@lse.ac.uk.

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