Intermittent estimation of stationary time series

DOI10.1007/BF02595785MaRDI QIDQ2387490zbMATH OpenFDO

Authors Gusztáv Morvai, Benjamin Weiss

Publication date 5 September 2005

Published in Test (Search for Journal in Brave)

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

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)

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.

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(13)

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• 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
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• On universal algorithms for classifying and predicting stationary processes
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• 50 years of International Journal of Systems Science: a review of the past and trends for the future

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