Articles

Agrégation séquentielle de prédicteursméthodologie générale et applications à la prévision de la qualité de lair et à celle de la consommation électrique

G. STOLTZ

Journal de la Société Française de Statistique

2010, vol. 151, n°2, pp.66-106

Departments: Economics & Decision Sciences, GREGHEC (CNRS)

Keywords: Sequential aggregation of predictors, Prediction with expert advice, Individual sequences, Air-quality forecasting, Prediction of electricity consumption


This paper is an extended written version of the talk I delivered at the "XLe Journées de Statistique" in Ottawa, 2004, when being awarded the Marie-Jeanne Laurent-Duhamel prize. It is devoted to surveying some fundamental as well as some more recent results in the field of sequential prediction of individual sequences with expert advice. It then performs two empirical studies following the stated general methodology: the first one to air-quality forecasting and the second one to the prediction of electricity consumption. Most results mentioned in the paper are based on joint works with Yannig Goude (EDF R&D) and Vivien Mallet (INRIA), together with some students whom we co-supervised for their M.Sc. theses: Marie Devaine, Sébastien Gerchinovitz and Boris Mauricette


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