diff --git a/index.qmd b/index.qmd index ea1d0af..11054b5 100644 --- a/index.qmd +++ b/index.qmd @@ -400,7 +400,7 @@ col_yellow <- "#FCE135" Reduces estimation time by 2-3 orders of magnitude -Maintainins competitive forecasting accuracy +Maintains competitive forecasting accuracy Real-World Validation in Energy Markets @@ -1059,7 +1059,7 @@ chart = { Each day, $t = 1, 2, ... T$ - The **forecaster** receives predictions $\widehat{X}_{t,k}$ from $K$ **experts** -- The **forecaster** assings weights $w_{t,k}$ to each **expert** +- The **forecaster** assigns weights $w_{t,k}$ to each **expert** - The **forecaster** calculates her prediction: \begin{equation} \widetilde{X}_{t} = \sum_{k=1}^K w_{t,k} \widehat{X}_{t,k}. @@ -1230,7 +1230,7 @@ Optimal rates with respect to selection \eqref{eq_opt_select} and convex aggrega \label{eq_optp_conv} \end{align} -Algorithms can statisfy both \eqref{eq_optp_select} and \eqref{eq_optp_conv} depending on: +Algorithms can satisfy both \eqref{eq_optp_select} and \eqref{eq_optp_conv} depending on: - The loss function - Regularity conditions on $Y_t$ and $\widehat{X}_{t,k}$ @@ -1312,7 +1312,7 @@ Using the CRPS, we can calculate time-adaptive weights $w_{t,k}$. However, what QL is convex, but not exp-concave - Bernstein Online Aggregation (BOA) lets us weaken the exp-concavity condition. It satisfies that there exist a $C>0$ such that for $x>0$ it holds that + Bernstein Online Aggregation (BOA) lets us weaken the exp-concavity condition. It satisfies that there exists a $C>0$ such that for $x>0$ it holds that \begin{equation} P\left( \frac{1}{t}\left(\widetilde{\mathcal{R}}_t - \widehat{\mathcal{R}}_{t,\pi} \right) \leq C \log(\log(t)) \left(\sqrt{\frac{\log(K)}{t}} + \frac{\log(K)+x}{t}\right) \right) \geq @@ -1324,7 +1324,7 @@ if the loss function is convex. Almost optimal w.r.t. *convex aggregation* \eqref{eq_optp_conv} @wintenberger2017optimal. -The same algorithm satisfies that there exist a $C>0$ such that for $x>0$ it holds that +The same algorithm satisfies that there exists a $C>0$ such that for $x>0$ it holds that \begin{equation} P\left( \frac{1}{t}\left(\widetilde{\mathcal{R}}_t - \widehat{\mathcal{R}}_{t,\min} \right) \leq C\left(\frac{\log(K)+\log(\log(Gt))+ x}{\alpha t}\right)^{\frac{1}{2-\beta}} \right) \geq @@ -1362,7 +1362,7 @@ Pointwise can outperform constant procedures $\text{QL}$ is convex: almost optimal convergence w.r.t. *convex aggregation* \eqref{eq_boa_opt_conv}
-For almost optimal congerence w.r.t. *selection* \eqref{eq_boa_opt_select} we need: +For almost optimal convergence w.r.t. *selection* \eqref{eq_boa_opt_select} we need: **A1: Lipschitz Continuity** @@ -1443,7 +1443,7 @@ The gradient based fully adaptive Bernstein online aggregation (BOAG) applied po $$\widehat{\mathcal{R}}_{t,\pi} = 2\overline{\widehat{\mathcal{R}}}^{\text{QL}}_{t,\pi}.$$ If $Y_t|\mathcal{F}_{t-1}$ is bounded -and has a pdf $f_t$ satifying $f_t>\gamma >0$ on its +and has a pdf $f_t$ satisfying $f_t>\gamma >0$ on its support $\text{spt}(f_t)$ then \eqref{eq_boa_opt_select} holds with $\beta=1$ and $$\widehat{\mathcal{R}}_{t,\min} = 2\overline{\widehat{\mathcal{R}}}^{\text{QL}}_{t,\min}$$ @@ -1684,7 +1684,7 @@ Weights converge to the constant solution if $L\rightarrow 1$ ### Initialization: -Array of expert predicitons: $\widehat{X}_{t,p,k}$ +Array of expert predictions: $\widehat{X}_{t,p,k}$ Vector of Prediction targets: $Y_t$ @@ -1908,7 +1908,7 @@ Combination methods: ::: {.column width="69%"} -Tuning paramter grids: +Tuning parameter grids: - Smoothing Penalty: $\Lambda= \{0\}\cup \{2^x|x\in \{-4,-3.5,\ldots,12\}\}$ - Learning Rates: $\mathcal{E}= \{2^x|x\in \{-1,-0.5,\ldots,9\}\}$ @@ -2301,7 +2301,7 @@ Let $\boldsymbol{\psi}^{\text{mv}}=(\psi_1,\ldots, \psi_{D})$ and $\boldsymbol{\ \boldsymbol w_{t,k} = \boldsymbol{\psi}^{\text{mv}} \boldsymbol{b}_{t,k} {\boldsymbol{\psi}^{pr}}' \end{equation*} -with parameter matix $\boldsymbol b_{t,k}$. The latter is estimated to penalize $L_2$-smoothing which minimizes +with parameter matrix $\boldsymbol b_{t,k}$. The latter is estimated to penalize $L_2$-smoothing which minimizes \begin{align} & \| \boldsymbol{\beta}_{t,d, k}' \boldsymbol{\varphi}^{\text{pr}} - \boldsymbol b_{t, d, k}' \boldsymbol{\psi}^{\text{pr}} \|^2_2 + \lambda^{\text{pr}} \| \mathcal{D}_{q} (\boldsymbol b_{t, d, k}' \boldsymbol{\psi}^{\text{pr}}) \|^2_2 + \nonumber \\ @@ -3168,7 +3168,7 @@ It holds that: with: $\boldsymbol{u}_t =(u_{1,t},\ldots, u_{K,t})^\intercal$, $u_{k,t} = F_{X_{k,t}|\mathcal{F}_{t-1}}(x_{k,t})$ -For brewity we drop the conditioning on $\mathcal{F}_{t-1}$. +For brevity we drop the conditioning on $\mathcal{F}_{t-1}$. The model can be specified as follows @@ -3267,7 +3267,7 @@ $\Lambda(\cdot)$ is a link function: ### Estimation -Joint maximum lieklihood estimation: +Joint maximum likelihood estimation: \begin{align*} f_{\mathbf{X}_t}(\mathbf{x}_t | \mathcal{F}_{t-1}) = c\left[\mathbf{F}(\mathbf{x}_t;\boldsymbol{\mu}_t, \boldsymbol{\sigma}_{t}^2, \boldsymbol{\nu}, @@ -3417,7 +3417,7 @@ table_energy %>% - VES models deliver poor performance in short horizons -- For Oil prices the RW Benchmark can't be oupterformed 30 steps ahead +- For Oil prices the RW Benchmark can't be outperformed 30 steps ahead - Both VECM models generally deliver good performance ::: @@ -3742,7 +3742,7 @@ plot_quant_data %>% ggplot(aes(x = date, y = value)) + Accounting for heteroscedasticity or stabilizing the variance via log transformation is crucial for good performance in terms of ES -- Price dynamics emerged way before the russian invaion into ukraine +- Price dynamics emerged way before the Russian invasion into Ukraine - Linear dependence between the series reacted only right after the invasion - Improvements in forecasting performance is mainly attributed to: - the tails