Limits to consistent on-line forecasting for ergodic time series

L. Györfi, G. Morvai, Sidney J. Yakowitz

Research output: Contribution to journalArticle

44 Citations (Scopus)

Abstract

This correspondence 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 plausible prediction problems are unsolvable, or in other cases, are not solvable by predictors which are known to be consistent when mixing conditions hold.

Original languageEnglish
Pages (from-to)886-892
Number of pages7
JournalIEEE Transactions on Information Theory
Volume44
Issue number2
DOIs
Publication statusPublished - 1998

Fingerprint

time series
Time series

Keywords

  • Ergodic time series
  • Forecasting
  • Nonparametric estimation
  • Prediction

ASJC Scopus subject areas

  • Electrical and Electronic Engineering
  • Information Systems

Cite this

Limits to consistent on-line forecasting for ergodic time series. / Györfi, L.; Morvai, G.; Yakowitz, Sidney J.

In: IEEE Transactions on Information Theory, Vol. 44, No. 2, 1998, p. 886-892.

Research output: Contribution to journalArticle

@article{be522de7af4740d78fd331c5610078c0,
title = "Limits to consistent on-line forecasting for ergodic time series",
abstract = "This correspondence 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 plausible prediction problems are unsolvable, or in other cases, are not solvable by predictors which are known to be consistent when mixing conditions hold.",
keywords = "Ergodic time series, Forecasting, Nonparametric estimation, Prediction",
author = "L. Gy{\"o}rfi and G. Morvai and Yakowitz, {Sidney J.}",
year = "1998",
doi = "10.1109/18.661540",
language = "English",
volume = "44",
pages = "886--892",
journal = "IEEE Transactions on Information Theory",
issn = "0018-9448",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
number = "2",

}

TY - JOUR

T1 - Limits to consistent on-line forecasting for ergodic time series

AU - Györfi, L.

AU - Morvai, G.

AU - Yakowitz, Sidney J.

PY - 1998

Y1 - 1998

N2 - This correspondence 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 plausible prediction problems are unsolvable, or in other cases, are not solvable by predictors which are known to be consistent when mixing conditions hold.

AB - This correspondence 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 plausible prediction problems are unsolvable, or in other cases, are not solvable by predictors which are known to be consistent when mixing conditions hold.

KW - Ergodic time series

KW - Forecasting

KW - Nonparametric estimation

KW - Prediction

UR - http://www.scopus.com/inward/record.url?scp=0032027780&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0032027780&partnerID=8YFLogxK

U2 - 10.1109/18.661540

DO - 10.1109/18.661540

M3 - Article

AN - SCOPUS:0032027780

VL - 44

SP - 886

EP - 892

JO - IEEE Transactions on Information Theory

JF - IEEE Transactions on Information Theory

SN - 0018-9448

IS - 2

ER -