Experimental Investigation of Forecasting Methods Based on Universal Measures

Details Experimental Investigation of Forecasting Methods Based on Universal Measures Experimental Investigation of Forecasting Methods Based on Universal Measures

2011-04-12

arxiv.org/abs/1104.2239v1

Computer Science

Information Theory

submitted

Scientific paper

We describe and experimentally investigate a method to construct forecasting
algorithms for stationary and ergodic processes based on universal measures (or
so-called universal data compressors). Using some geophysical and economical
time series as examples, we show that the precision of thus obtained
predictions is higher than that of known methods.

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