Nonparametric sequential prediction for stationary processes

G. Morvai, Benjamin Weiss

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

We study the problem of finding an universal estimation scheme hn: R{double-struck}n → R{double-struck}, n = 1, 2,. .. which will satisfy for all real valued stationary and ergodic processes that are in Lp. We will construct a single such scheme for all 1 <p≤ ∞, and show that for p = 1 mere integrability does not suffice but Llog+ L does.

Original languageEnglish
Pages (from-to)1137-1160
Number of pages24
JournalAnnals of Probability
Volume39
Issue number3
DOIs
Publication statusPublished - May 2011

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Stationary Process
Ergodic Processes
Prediction
Integrability
Stationary process

Keywords

  • Nonparametric predicton
  • Stationary processes

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this

Nonparametric sequential prediction for stationary processes. / Morvai, G.; Weiss, Benjamin.

In: Annals of Probability, Vol. 39, No. 3, 05.2011, p. 1137-1160.

Research output: Contribution to journalArticle

Morvai, G. ; Weiss, Benjamin. / Nonparametric sequential prediction for stationary processes. In: Annals of Probability. 2011 ; Vol. 39, No. 3. pp. 1137-1160.
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