IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v72y2005i4p285-290.html
   My bibliography  Save this article

Limitations on intermittent forecasting

Author

Listed:
  • Morvai, Gusztáv
  • Weiss, Benjamin

Abstract

Bailey showed that the general pointwise forecasting for stationary and ergodic time series has a negative solution. However, it is known that for Markov chains the problem can be solved. Morvai showed that there is a stopping time sequence {[lambda]n} such that P(X[lambda]n+1=1X0,...,X[lambda]n) can be estimated from samples (X0,...,X[lambda]n) such that the difference between the conditional probability and the estimate vanishes along these stoppping times for all stationary and ergodic binary time series. We will show it is not possible to estimate the above conditional probability along a stopping time sequence for all stationary and ergodic binary time series in a pointwise sense such that if the time series turns out to be a Markov chain, the predictor will predict eventually for all n.

Suggested Citation

  • Morvai, Gusztáv & Weiss, Benjamin, 2005. "Limitations on intermittent forecasting," Statistics & Probability Letters, Elsevier, vol. 72(4), pages 285-290, May.
  • Handle: RePEc:eee:stapro:v:72:y:2005:i:4:p:285-290
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(05)00038-6
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gusztav Morvav & Benjamin Weiss, 2007. "On Sequential Estimation and Prediction for Discrete Time Series," Discussion Paper Series dp464, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:72:y:2005:i:4:p:285-290. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.