English, Article, Journal or magazine article edition: Strategies for Sequential Prediction of Stationary Time Series László Györfi; Gábor Lugosi

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Bookmark: http://trove.nla.gov.au/version/155006
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Strategies for Sequential Prediction of Stationary Time Series
Author
  • László Györfi
  • Gábor Lugosi
Physical Description
  • preprint
Notes
  • We present simple procedures for the prediction of a real valued sequence. The algorithms are based on a combination of several simple predictors. We show that if the sequence is a realization of a bounded stationary and ergodic random process then the average of squared errors converges, almost surely, to that of the optimum, given by the Bayes predictor. We offer an analog result for the prediction of stationary gaussian processes.
  • Sequential prediction, ergodic process, individual sequence, gaussian process
  • RePEc:upf:upfgen:507
Language
  • English
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