Guessing the output of a stationary binary time series

MaRDI QIDQ6207190arXivFDO

Authors Gusztáv Morvai

Publication date 19 October 2007

Published in arXiv

Mathematics Subject Classification ID

Statistics (62-XX)

arXiv classification

cs.ITmath.ITmath.PR

Abstract: The forward prediction problem for a 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. The growth rate of the stopping times is also exhibited.

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