Nonparametric sequential prediction for stationary processes

Details Nonparametric sequential prediction for stationary processes Nonparametric sequential prediction for stationary processes

2011-04-08

arxiv.org/abs/1104.1555v1

Annals of Probability 2011, Vol. 39, No. 3, 1137-1160

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/10-AOP576 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of

Scientific paper

10.1214/10-AOP576

We study the problem of finding an universal estimation scheme $h_n:\mathbb{R}^n\to \mathbb{R}$, $n=1,2,...$ which will satisfy \lim_{t\rightarrow\infty}{\frac{1}{t}}\sum_{i=1}^t|h_ i(X_0,X_1,...,X_{i-1})-E(X_i|X_0,X_1,...,X_{i-1})|^p=0 a.s. for all real valued stationary and ergodic processes that are in $L^p$. We will construct a single such scheme for all $1

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