A simple randomized algorithm for consistent sequential prediction of ergodic time series
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- Guy Uziel & Ran El-Yaniv, 2017. "Growth-Optimal Portfolio Selection under CVaR Constraints," Papers 1705.09800, arXiv.org.
- 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.
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KeywordsPrediction; ergodic processes; pattern classification;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1998-09-14 (All new papers)
- NEP-ECM-1998-09-14 (Econometrics)
- NEP-ETS-1998-09-14 (Econometric Time Series)
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