On Sequential Estimation and Prediction for Discrete Time Series
The problem of extracting as much information as possible from a sequence of observations of a stationary stochastic process X0,X1,…,Xn has been considered by many authors from different points of view. It has long been known through the work of D. Bailey that no universal estimator for P(Xn+1|X0,X1, ...Xn) can be found which converges to the true estimator almost surely. Despite this result, for restricted classes of processes, or for sequences of estimators along stopping times, universal estimators can be found. We present here a survey of some of the recent work that has been done along these lines.
|Date of creation:||Sep 2007|
|Date of revision:|
|Contact details of provider:|| Postal: Feldman Building - Givat Ram - 91904 Jerusalem|
Web page: http://www.ratio.huji.ac.il/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Morvai, Gusztáv & Weiss, Benjamin, 2005. "Limitations on intermittent forecasting," Statistics & Probability Letters, Elsevier, vol. 72(4), pages 285-290, May.
- Gusztáv Morvai & Benjamin Weiss, 2004. "Intermittent estimation of stationary time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 13(2), pages 525-542, December.
When requesting a correction, please mention this item's handle: RePEc:huj:dispap:dp464. 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: (Tomer Siedner)
If references are entirely missing, you can add them using this form.