Forward estimation for ergodic time series
نویسندگان
چکیده
منابع مشابه
Forward estimation for ergodic time series
The forward estimation problem for stationary and ergodic time series {X n } ∞ n=0 taking values from a finite alphabet X is to estimate the probability that X n+1 = x based on the observations X i , 0 ≤ i ≤ n without prior knowledge of the distribution of the process {X n }. We present a simple procedure g n which is evaluated on the data)| → 0 almost surely for a subclass of all stationary an...
متن کاملMultiple Change-Point Estimation in Stationary Ergodic Time-Series
Given a heterogeneous time-series sample, it is required to find the points in time (called change points) where the probability distribution generating the data has changed. The data is assumed to have been generated by arbitrary, unknown, stationary ergodic distributions. No modeling, independence or mixing are made. A novel, computationally efficient, nonparametric method is proposed, and is...
متن کاملNonparametric inference for ergodic, stationary time series
Nonparametric inference for ergodic, stationary time series. Abstract The setting is a stationary, ergodic time series. The challenge is to construct a sequence of functions, each based on only finite segments of the past, which together provide a strongly consistent estimator for the conditional probability of the next observation, given the infinite past. Ornstein gave such a construction for...
متن کاملLimits to consistent on-line forecasting for ergodic time series
Limits to consistent on-line forecasting for ergodic time series. Abstract This study concerns problems of time-series forecasting under the weakest of assumptions. Related results are surveyed and are points of departure for the developments here, some of which are new and others are new derivations of previous findings. The contributions in this study are all negative, showing that various pl...
متن کاملA Hoeffding-type Inequality for Ergodic Time Series
In this paper, a Hoeffding-type inequality is presented for a class of ergodic time series. The inequality is then used to construct uniformly exponentially consistent tests, which are useful tools for studying Bayesian consistency.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincare (B) Probability and Statistics
سال: 2005
ISSN: 0246-0203
DOI: 10.1016/j.anihpb.2004.07.002