Learning from the past, predicting the statistics for the future, learning an evolving system
AbstractRegression analysis aims to use observational data from multiple observations to develop a functional relationship relating explanatory variables to response variables, which is important for much of modern statistics, and econometrics, and also the field of machine learning. In this paper, we consider the special case where the explanatory variable is a stream of information, and the response is also potentially a stream. We provide an approach based on identifying carefully chosen features of the stream which allows linear regression to be used to characterise the functional relationship between explanatory variables and the conditional distribution of the response; the methods used to develop and justify this approach, such as the signature of a stream and the shuffle product of tensors, are standard tools in the theory of rough paths and seem appropriate in this context of regression as well and provide a surprisingly unified and non-parametric approach. To illustrate the approach we consider the problem of using data to predict the conditional distribution of the near future of a stationary, ergodic time series and compare it with probabilistic approaches based on first fitting a model. We believe our reduction of this regression problem for streams to a linear problem is clean, systematic, and efficient in minimizing the effective dimensionality. The clear gradation of finite dimensional approximations increases its usefulness. Although the approach is non-parametric, it presents itself in computationally tractable and flexible restricted forms in examples we considered. Popular techniques in time series analysis such as AR, ARCH and GARCH can be seen to be special cases of our approach, but it is not clear if they are always the best or most informative choices.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1309.0260.
Date of creation: Sep 2013
Date of revision: Sep 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-06 (All new papers)
- NEP-CWA-2013-09-06 (Central & Western Asia)
- NEP-ECM-2013-09-06 (Econometrics)
- NEP-FOR-2013-09-06 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
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- Lajos Gergely Gyurk\'o & Terry Lyons & Mark Kontkowski & Jonathan Field, 2013. "Extracting information from the signature of a financial data stream," Papers 1307.7244, arXiv.org, revised Jul 2014.
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