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The prediction task is presented by the following regression setup. A vector of observed responses \\(Y_n=(Y_1,Y_2,\\ldots,Y_n)'\\) is given which is associated with the vector of regressors \\(X_n=(X_1,X_2,\\ldots,X_n)'\\) and an unobserved value \\(Y_{n+1}\\) corresponding to \\(X_{n+1}\\) (a regressor value of interest) should be predicted. If \\(Y_i\\) are i.i.d., the MSE-optimal predictor of \\(Y_{n+1}\\) is simply given by the expected value of \\(Y_i\\; (i=1,\\ldots,n)\\). In the case where the i.i.d. assumption breaks down, model-free prediction principle uses the structure of the problem in order to find an invertible transformation \\(H_m\\) that can map the non-i.i.d. vector \\(Y_m\\) to a vector \\(\\epsilon_m(\\epsilon_1,\\ldots,\\epsilon_m)'\\) that has i.i.d. components. Here \\(m\\) could be taken equal to either \\(n\\) or \\(n+1\\) as needed. In this way, the prediction problem is reduced to the trivial one of predicting i.i.d. variables.   The book is organized in four parts. The first part (Part 1, The model-free prediction principle) presents the model-free prediction principle. The second part (Part 2, Independent data: regression) considers model-based prediction in independent-data regression (Chapter 3, Model-based prediction in regression), model-free prediction in independent-data regression (Chapter 4, Model-free prediction in regression), and compares model-free with model-based confidence intervals for independent data (Chapter 5, Model-free vs. model-based confidence intervals).  In Part 3 (Dependent data: time series) optimal linear prediction for linear time series is considered (Chapter 6, Linear time series and optimal linear prediction), detailed construction of prediction intervals in model-based regression is described (Chapter 7, Model-based prediction in autoregression). Chapter 8 (Model-free inference for Markov processes) investigates model-free autoregression, i. e., Markov processes, to serve as a contrast to the model-based autoregression of Chapter 7. In Chapter 9 (Predictive inference for locally stationary time series), a locally stationary model is considered where stochastic structure of time series is slowly-changing. Prediction is performed based on decomposition of the time series into three components: trend, seasonal and stationary part.  In Part 4 (Case study: model-free volatility prediction for financial time series), model-free and model-based volatility prediction are compared on three representative datasets of daily returns taken from a foreign exchange rate, a stock price and a stock index.  The monograph restores the emphasis on observable quantities. Considering model-free and model-based prediction, the monograph emphasises on model-free approach but also shows the close relation between these two approaches. 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