Forecasting for stationary binary time series

DOI10.1023/A:1025862222287MaRDI QIDQ1415505zbMATH OpenFDO

Authors Gusztáv Morvai, Benjamin Weiss

Publication date 4 December 2003

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0710.5144

zbMATH Keywords

nonparametric estimationstationary processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Optimal stopping in statistics (62L15)

Abstract: The forecasting problem for a stationary and ergodic binary time series ${X_n}_{n=0}^{infty}$ is to estimate the probability that $X_{n+1}=1$ based on the observations $X_i$, $0leilen$ without prior knowledge of the distribution of the process $X_n$. It is known that this is not possible if one estimates at all values of $n$. We present a simple procedure which will attempt to make such a prediction infinitely often at carefully selected stopping times chosen by the algorithm. We show that the proposed procedure is consistent under certain conditions, and we estimate the growth rate of the stopping times.

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Cited in

(14)

• On universal estimates for binary renewal processes
• Nonparametric sequential prediction for stationary processes
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• ON SEQUENTIAL ESTIMATION AND PREDICTION FOR DISCRETE TIME SERIES
• Consistency, integrability and asymptotic normality for some intermittent estimators
• Coherent forecasting for stationary time series of discrete data
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• On universal algorithms for classifying and predicting stationary processes
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