Guessing the output of a stationary binary time series

Details Guessing the output of a stationary binary time series Guessing the output of a stationary binary time series

2007-10-19

arxiv.org/abs/0710.3760v1

Foundations of statistical inference (Shoresh, 2000), 207--215, Contrib. Statist., Physica, Heidelberg, 2003

Mathematics

Probability

Scientific paper

The forward prediction problem for a binary time series $\{X_n\}_{n=0}^{\infty}$ is to estimate the probability that $X_{n+1}=1$ based on the observations $X_i$, $0\le i\le n$ without prior knowledge of the distribution of the process $\{X_n\}$. It is known that this is not possible if one estimates at all values of $n$. We present a simple procedure which will attempt to make such a prediction infinitely often at carefully selected stopping times chosen by the algorithm. The growth rate of the stopping times is also exhibited.

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