Chapter 16 Nonparametric Prediction
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چکیده
In this chapter we consider the prediction of stationary time series for various loss functions: squared loss (as it arises in the regression problem), 0− 1 loss (pattern recognition) and log utility (portfolio selection). The focus is on the construction of universal prediction rules, which are consistent for all possible stationary processes. Such rules can be obtained by combining elementary rules (experts) in a data dependent way.
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تاریخ انتشار 2007