Time series prediction based on data compression methods

DOI10.1134/S0032946016010075zbMATH Open1360.94044OpenAlexW2418889821MaRDI QIDQ522933FDOQ522933

Authors: A. S. Lysyak, B. Ya. Ryabko 

Publication date: 19 April 2017

Published in: Problems of Information Transmission (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0032946016010075

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Image processing (compression, reconstruction, etc.) in information and communication theory (94A08)

Cites Work

• Elements of Information Theory
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• Twice-universal coding
• Threshold models in non-linear time series analysis
• Prediction of random sequences and universal coding
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• Experimental investigation of forecasting methods based on data compression algorithms
• Adaptive Coding and Prediction of Sources With Large and Infinite Alphabets
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• Compression-Based Methods for Nonparametric Prediction and Estimation of Some Characteristics of Time Series
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Cited In (12)

• Time-universal data compression
• Compression-based methods of statistical analysis and prediction of time series
• Experimental investigation of forecasting methods based on data compression algorithms
• Efficiency of some algorithms for prediction in finite stationary time series
• Measuring the efficiency of the intraday Forex market with a universal data compression algorithm
• Forecasting methods for time series with large alphabets based on universal measure and decision trees
• Segmentation and hashing of time series in stock market prediction
• Data compression of nonlinear time series using a hybrid linear/nonlinear predictor
• Data compression and learning in time sequences analysis
• Compression-Based Methods for Nonparametric Prediction and Estimation of Some Characteristics of Time Series
• Online text prediction with recurrent neural networks
• Time series compression based on reinforcement learning

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