Limitations on intermittent forecasting

DOI10.1016/J.SPL.2004.12.016zbMath1066.62090arXiv0710.3773OpenAlexW2012320915MaRDI QIDQ2483866

Benjamin Weiss, Gusztáv Morvai

Publication date: 1 August 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.3773

zbMATH Keywords

Finite-order Markov chainsPrediction theoryStationary and ergodic processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Stationary stochastic processes (60G10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (5)

ON SEQUENTIAL ESTIMATION AND PREDICTION FOR DISCRETE TIME SERIES ⋮ On universal estimates for binary renewal processes ⋮ Nonparametric sequential prediction for stationary processes ⋮ On universal algorithms for classifying and predicting stationary processes ⋮ Unnamed Item

Cites Work

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• Random Markov processes and uniform martingales
• Prediction of random sequences and universal coding
• Forecasting for stationary binary time series
• The consistency of the BIC Markov order estimator.
• Strongly mixing g-measures
• Limits to consistent on-line forecasting for ergodic time series
• Large-scale typicality of Markov sample paths and consistency of MDL order estimators

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