Forward estimation for ergodic time series

DOI10.1016/J.ANIHPB.2004.07.002MaRDI QIDQ2567141zbMATH OpenOpenAlexFDO

Authors Gusztáv Morvai, Benjamin Weiss

Publication date 29 September 2005

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.3856, http://www.numdam.org/item?id=AIHPB_2005__41_5_859_0, http://www.numdam.org/item?id=AIHPB_2005__41_5_859_0/, https://eudml.org/doc/77871

zbMATH Keywords

stationary processes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: The forward estimation problem for stationary and ergodic time series ${X_n}_{n=0}^{infty}$ taking values from a finite alphabet $calX$ is to estimate the probability that $X_{n+1}=x$ based on the observations $X_i$, $0leilen$ without prior knowledge of the distribution of the process $X_n$. We present a simple procedure $g_n$ which is evaluated on the data segment $(X_0,\mathrm{...},X_n)$ and for which, $merror(n)=|g_n(x)-P(X_{n+1}=x|X_0,\mathrm{...},X_n)|o0$ almost surely for a subclass of all stationary and ergodic time series, while for the full class the Cesaro average of the error tends to zero almost surely and moreover, the error tends to zero in probability.

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