Time series prediction based on data compression methods

DOI10.1134/S0032946016010075MaRDI QIDQ522933zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• scientific article; zbMATH DE number 590411 (Why is no real title available?)
• scientific article; zbMATH DE number 3410925 (Why is no real title available?)
• Adaptive Coding and Prediction of Sources With Large and Infinite Alphabets
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Compression-Based Methods for Nonparametric Prediction and Estimation of Some Characteristics of Time Series
• Elements of Information Theory
• Experimental investigation of forecasting methods based on data compression algorithms
• Prediction of random sequences and universal coding
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• Threshold models in non-linear time series analysis
• Twice-universal coding

Cited in

(12)

• Compression-Based Methods for Nonparametric Prediction and Estimation of Some Characteristics of Time Series
• Data compression of nonlinear time series using a hybrid linear/nonlinear predictor
• Time-universal data compression
• Online text prediction with recurrent neural networks
• Data compression and learning in time sequences analysis
• Forecasting methods for time series with large alphabets based on universal measure and decision trees
• 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
• Compression-based methods of statistical analysis and prediction of time series
• Time series compression based on reinforcement learning
• Segmentation and hashing of time series in stock market prediction

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