Experimental investigation of forecasting methods based on data compression algorithms

DOI10.1007/S11122-005-0011-9MaRDI QIDQ2577286zbMATH OpenOpenAlexFDO

Authors V. A. Monarev, B. Ya. Ryabko

Publication date 19 December 2005

Published in Problems of Information Transmission (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11122-005-0011-9

zbMATH Keywords

forecasting algorithms

Mathematics Subject Classification ID

Nonnumerical algorithms (68W05) Coding and information theory (compaction, compression, models of communication, encoding schemes, etc.) (aspects in computer science) (68P30)

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Cites work

• scientific article; zbMATH DE number 3427210 (Why is no real title available?)
• On asymptotically optimal methods of prediction and adaptive coding for Markov sources
• On optimal sequential prediction for general processes
• THE COMPLEXITY OF FINITE OBJECTS AND THE DEVELOPMENT OF THE CONCEPTS OF INFORMATION AND RANDOMNESS BY MEANS OF THE THEORY OF ALGORITHMS
• The complexity and effectiveness of prediction algorithms
• The definition of random sequences
• Universal schemes for learning the best nonlinear predictor given the infinite past and side information
• Using literal and grammatical statistics for authorship attribution
• Weakly convergent nonparametric forecasting of stationary time series

Cited in

(6)

• Consistency, integrability and asymptotic normality for some intermittent estimators
• Measuring the efficiency of the intraday Forex market with a universal data compression algorithm
• Forecasting methods for time series with large alphabets based on universal measure and decision trees
• scientific article; zbMATH DE number 1528731 (Why is no real title available?)
• Application of data compression methods to nonparametric estimation of characteristics of discrete-time stochastic processes
• Time series prediction based on data compression methods

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