Nonparametric sequential prediction for stationary processes

DOI10.1214/10-AOP576zbMATH Open1301.60052arXiv1104.1555MaRDI QIDQ533751FDOQ533751

Authors: Gusztáv Morvai, Benjamin Weiss 

Publication date: 6 May 2011

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We study the problem of finding an universal estimation scheme $h_n:mathbb{R}^{n}omathbbR$, $n=1,2,\mathrm{...}$ which will satisfy lim_{t ightarrowinfty}{frac{1}{t}}sum_{i=1}^t|h_ i(X_0,X_1,...,X_{i-1})-E(X_i|X_0,X_1,...,X_{i-1})|^p=0 a.s. for all real valued stationary and ergodic processes that are in $L^p$. We will construct a single such scheme for all $1<pleinfty$, and show that for $p=1$ mere integrability does not suffice but $Llo{g}^{+}L$ does.

Full work available at URL: https://arxiv.org/abs/1104.1555

Recommendations

• Nonparametric sequential prediction of stationary time series
• Nonparametric prediction for stochastic processes
• scientific article; zbMATH DE number 4030774
• ON SEQUENTIAL ESTIMATION AND PREDICTION FOR DISCRETE TIME SERIES
• Sequential Prediction of Unbounded Stationary Time Series

zbMATH Keywords

stationary processesnonparametric predicton

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Prediction theory (aspects of stochastic processes) (60G25) Stationary stochastic processes (60G10)

Cites Work

• A distribution-free theory of nonparametric regression
• Title not available (Why is that?)
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
• Ergodic theorems. With a supplement by Antoine Brunel
• Title not available (Why is that?)
• Title not available (Why is that?)
• Splitting a Single State of a Stationary Process into Markovian States
• Title not available (Why is that?)
• A law of large numbers for identically distributed martingale differences
• Limits to consistent on-line forecasting for ergodic time series
• Prediction of random sequences and universal coding
• Nonparametric inference for ergodic, stationary time series
• Prediction for discrete time series
• Universal schemes for prediction, gambling and portfolio selection
• Guessing the next output of a stationary process
• Forward estimation for ergodic time series
• Sequential Prediction of Unbounded Stationary Time Series
• Weakly convergent nonparametric forecasting of stationary time series
• A simple randomized algorithm for sequential prediction of ergodic time series
• On estimating the memory for finitarily Markovian processes
• Finitarily deterministic generators for zero entropy systems
• Forecasting for stationary binary time series
• Intermittent estimation of stationary time series
• Limitations on intermittent forecasting
• On classifying processes
• The ergodic theorem for a sequence of functions
• Title not available (Why is that?)
• On optimal sequential prediction for general processes
• Universal prediction
• Universal schemes for learning the best nonlinear predictor given the infinite past and side information
• The strong law of large numbers for sequential decisions under uncertainty
• Inferring the conditional mean

Cited In (10)

• Weakly universally consistent static forecasting of stationary and ergodic time series via local averaging and least squares estimates
• Estimating the conditional expectations for continuous time stationary processes
• ON SEQUENTIAL ESTIMATION AND PREDICTION FOR DISCRETE TIME SERIES
• Nonparametric prediction for stochastic processes
• Predicting non-stationary processes
• Gaussian process for nonstationary time series prediction
• Nonparametric sequential prediction of stationary time series
• On the non-parametric prediction of conditionally stationary sequences
• On universal algorithms for classifying and predicting stationary processes
• Title not available (Why is that?)

This page was built for publication: Nonparametric sequential prediction for stationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q533751)