Intermittent estimation of stationary time series

DOI10.1007/BF02595785zbMATH Open1082.62073arXiv0711.0350MaRDI QIDQ2387490FDOQ2387490

Authors: Gusztáv Morvai, Benjamin Weiss 

Publication date: 5 September 2005

Published in: Test (Search for Journal in Brave)

Abstract: Let ${X_n}_{n=0}^{infty}$ be a stationary real-valued time series with unknown distribution. Our goal is to estimate the conditional expectation of $X_{n+1}$ based on the observations $X_i$, $0leilen$ in a strongly consistent way. Bailey and Ryabko proved that this is not possible even for ergodic binary time series if one estimates at all values of $n$. We propose a very simple algorithm which will make prediction infinitely often at carefully selected stopping times chosen by our rule. We show that under certain conditions our procedure is strongly (pointwise) consistent, and $L_2$ consistent without any condition. An upper bound on the growth of the stopping times is also presented in this paper.

Full work available at URL: https://arxiv.org/abs/0711.0350

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Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Stationary stochastic processes (60G10)

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• Prediction for discrete time series
• Consistency, integrability and asymptotic normality for some intermittent estimators
• Forecasting for stationary binary time series
• Inferring the residual waiting time for binary stationary time series
• Limitations on intermittent forecasting
• On universal algorithms for classifying and predicting stationary processes
• A note on prediction for discrete time series
• Analysing interrupted time series with a control
• 50 years of International Journal of Systems Science: a review of the past and trends for the future

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