Nonparametric sequential prediction for stationary processes

DOI10.1214/10-AOP576MaRDI QIDQ533751zbMATH OpenFDO

Authors Gusztáv Morvai, Benjamin Weiss

Publication date 6 May 2011

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

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

zbMATH Keywords

stationary processesnonparametric predicton

Mathematics Subject Classification ID

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

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.

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Cited in

(10)

• Weakly universally consistent static forecasting of stationary and ergodic time series via local averaging and least squares estimates
• ON SEQUENTIAL ESTIMATION AND PREDICTION FOR DISCRETE TIME SERIES
• Estimating the conditional expectations for continuous time stationary processes
• Consistency, integrability and asymptotic normality for some intermittent estimators
• Predicting non-stationary processes
• Nonparametric prediction for stochastic 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

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