R. Koenker and G. J. Bassett, Regression Quantiles, Econometrica, vol.46, issue.1, pp.33-50, 1978.
DOI : 10.2307/1913643

J. Hamilton, Time Series Analysis, 1994.

P. Brockwell and R. Davis, Time Series: Theory and Methods, 2009.

G. Stoltz, Agrégation séquentielle de prédicteurs : méthodologie générale et applications à la prévision de la qualité de l'air et à celle de la consommation électrique, Journal de la SFDS, vol.151, pp.66-106, 2010.

D. S. Modha and E. Masry, Memory-universal prediction of stationary random processes, IEEE Transactions on Information Theory, vol.44, issue.1, pp.117-133, 1998.
DOI : 10.1109/18.650998

R. Meir, Nonparametric time series prediction through adaptive model selection, Machine Learning, vol.39, issue.1, pp.5-34, 2000.
DOI : 10.1023/A:1007602715810

P. Alquier and O. Wintenberger, Model selection for weakly dependent time series forecasting, Bernoulli, vol.18, issue.3, pp.883-193, 2012.
DOI : 10.3150/11-BEJ359
URL : https://hal.archives-ouvertes.fr/inria-00386733

G. Biau and B. Patra, Sequential Quantile Prediction of Time Series, IEEE Transactions on Information Theory, vol.57, issue.3, pp.1664-1674, 2011.
DOI : 10.1109/TIT.2011.2104610
URL : https://hal.archives-ouvertes.fr/hal-00410120

A. Dalalyan and A. Tsybakov, Aggregation by exponential weighting, sharp PAC-Bayesian bounds and sparsity, Machine Learning, vol.52, issue.1-2, pp.39-61, 2008.
DOI : 10.1007/s10994-008-5051-0
URL : https://hal.archives-ouvertes.fr/hal-00265651

S. Gerchinovitz, Sparsity regret bounds for individual sequences in online linear regression, Proceedings of COLT'11, 2011.
URL : https://hal.archives-ouvertes.fr/inria-00552267

O. Catoni, Statistical Learning Theory and Stochastic Optimization, Lecture Notes in Mathematics, vol.1851, 2004.
DOI : 10.1007/b99352
URL : https://hal.archives-ouvertes.fr/hal-00104952

O. Catoni, PAC-Bayesian Supervised Classification (The Thermodynamics of Statistical Learning) Volume 56 of Lecture Notes-Monograph Series, IMS, 2007.

N. Littlestone and M. Warmuth, The Weighted Majority Algorithm, Information and Computation, vol.108, issue.2, pp.212-261, 1994.
DOI : 10.1006/inco.1994.1009

V. Vovk, AGGREGATING STRATEGIES, Proceedings of the 3rd Annual Workshop on Computational Learning Theory (COLT), pp.372-283, 1990.
DOI : 10.1016/B978-1-55860-146-8.50032-1

R. Koenker, Quantile Regression, 2005.

A. Belloni and V. Chernozhukov, ???1-penalized quantile regression in high-dimensional sparse models, The Annals of Statistics, vol.39, issue.1, pp.82-130, 2011.
DOI : 10.1214/10-AOS827SUPP

J. Shawe-taylor and R. Williamson, A PAC analysis of a bayes estimator, Proceedings of the Tenth Annual Conference on Computational Learning Theory, COLT'97, pp.2-9, 1997.

D. A. Mcallester, PAC-Bayesian model averaging, Proceedings of the twelfth annual conference on Computational learning theory , COLT '99, pp.164-170, 1999.
DOI : 10.1145/307400.307435

P. Alquier, PAC-Bayesian bounds for randomized empirical risk minimizers, Mathematical Methods of Statistics, vol.17, issue.4, pp.279-304, 2008.
DOI : 10.3103/S1066530708040017
URL : https://hal.archives-ouvertes.fr/hal-00195698

J. Y. Audibert, PAC-Bayesian aggregation and multi-armed bandits, 2010.
URL : https://hal.archives-ouvertes.fr/tel-00536084

J. Y. Audibert and O. Catoni, Robust linear least squares regression, The Annals of Statistics, vol.39, issue.5, pp.2766-2794, 2011.
DOI : 10.1214/11-AOS918SUPP
URL : https://hal.archives-ouvertes.fr/hal-00522534

J. Dedecker, P. Doukhan, G. Lang, J. R. León, S. Louhichi et al., Weak Dependence , Examples and Applications, Lecture Notes in Statistics, vol.190, 2007.
URL : https://hal.archives-ouvertes.fr/hal-00686031

P. Doukhan, Mixing. Lecture Notes in Statistics, 1994.

O. Catoni, A PAC-Bayesian approach to adaptative classification, Preprint Laboratoire de Probabilités et Modèles Aléatoires, 2003.

M. Devilliers, Les enquêtes de conjoncture, In: Archives et Documents. Number INSEE, vol.101, 1984.

L. Clavel and C. Minodier, A monthly indicator of the french business climate, 2009.

E. Dubois and E. Michaux, étalonnages à l'aide d'enquêtes de conjoncture: de nouvaux résultats, In: Économie et Prévision. Number INSEE, vol.172, 2006.

G. Biau, O. Biau, and L. Rouvière, Nonparametric Forecasting of the Manufacturing Output Growth with Firm-level Survey Data, Journal of Business Cycle Measurement and Analysis, vol.2007, issue.3, pp.317-332, 2008.
DOI : 10.1787/jbcma-v2007-art15-en
URL : https://hal.archives-ouvertes.fr/hal-00459438

F. X. Diebold, A. S. Tay, and K. F. Wallis, Evaluating density forecasts of inflation: the survey of professional forecasters. Discussion Paper No.48, National Bureau of Economic Research, issue.6228, 1997.

A. S. Tay and K. F. Wallis, Density forecasting: a survey, Journal of Forecasting, vol.23, issue.4, pp.235-254, 2000.
DOI : 10.1002/1099-131X(200007)19:4<235::AID-FOR772>3.0.CO;2-L

E. Britton, P. Fisher, and J. Whitley, The inflation report projections: Understanding the fan chart, Bank of England Quarterly Bulletin, vol.38, pp.30-37, 1998.

M. Cornec, Constructing a conditional GDP fan chart with an application to French business survey data, 30th CIRET Conference, 2010.
DOI : 10.1787/jbcma-2013-5jz417xzw931

K. Dowd, The inflation fan charts: An evaluation, Greek Economic Review, vol.23, pp.99-111, 2004.

X. Li, Agrégation de prédicteurs appliquée à la conjoncture Rapport de stage de M2 -Université Paris 6 -INSEE sous la direction, 2010.

G. Casella and C. Robert, Monte Carlo Statistical Methods, 2004.

R. Development and C. Team, R: A Language and Environment for Statistical Computing . R Foundation for Statistical Computing, 2008.

E. Rio, Ingalités de Hoeffding pour les fonctions lipschitziennes de suites dépendantes . Comptes Rendus de l'Académie des Sciences de Paris, Série I, pp.330-905, 2000.
DOI : 10.1016/s0764-4442(00)00290-1

O. Wintenberger, Deviation inequalities for sums of weakly dependent time series, Electronic Communications in Probability, vol.15, pp.489-503, 2010.
URL : https://hal.archives-ouvertes.fr/hal-00430608

Y. Seldin, F. Laviolette, N. Cesa-bianchi, P. Auer, and J. Shawe-taylor, PAC-Bayesian Inequalities for Martingales, IEEE Transactions on Information Theory, vol.58, issue.12, pp.1110-6886, 2011.
DOI : 10.1109/TIT.2012.2211334

S. Kullback, Information theory and statistics, 1959.