Nonparametric sequential prediction of time series

Details Nonparametric sequential prediction of time series Nonparametric sequential prediction of time series

2008-01-02

arxiv.org/abs/0801.0327v1

Statistics

Methodology

article + 2 figures

Scientific paper

Time series prediction covers a vast field of every-day statistical applications in medical, environmental and economic domains. In this paper we develop nonparametric prediction strategies based on the combination of a set of 'experts' and show the universal consistency of these strategies under a minimum of conditions. We perform an in-depth analysis of real-world data sets and show that these nonparametric strategies are more flexible, faster and generally outperform ARMA methods in terms of normalized cumulative prediction error.

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