TY - JOUR
T1 - Prediction for discrete time series
AU - Morvai, Gusztáv
AU - Weiss, Benjamin
PY - 2005/5
Y1 - 2005/5
N2 - Let {X n } be a stationary and ergodic time series taking values from a finite or countably infinite set X. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times λ n along which we will be able to estimate the conditional probability P(Xλ n+1=x|X 0,...,λ n) from data segment (X 0,...,λ n) in a pointwise consistent way for a restricted class of stationary and ergodic finite or countably infinite alphabet time series which includes among others all stationary and ergodic finitarily Markovian processes. If the stationary and ergodic process turns out to be finitarily Markovian (among others, all stationary and ergodic Markov chains are included in this class) then lim n→∞ n/λ n > almost surely. If the stationary and ergodic process turns out to possess finite entropy rate then λ n is upperbounded by a polynomial, eventually almost surely.
AB - Let {X n } be a stationary and ergodic time series taking values from a finite or countably infinite set X. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times λ n along which we will be able to estimate the conditional probability P(Xλ n+1=x|X 0,...,λ n) from data segment (X 0,...,λ n) in a pointwise consistent way for a restricted class of stationary and ergodic finite or countably infinite alphabet time series which includes among others all stationary and ergodic finitarily Markovian processes. If the stationary and ergodic process turns out to be finitarily Markovian (among others, all stationary and ergodic Markov chains are included in this class) then lim n→∞ n/λ n > almost surely. If the stationary and ergodic process turns out to possess finite entropy rate then λ n is upperbounded by a polynomial, eventually almost surely.
KW - Nonparametric estimation
KW - Stationary processes
UR - http://www.scopus.com/inward/record.url?scp=17444391313&partnerID=8YFLogxK
U2 - 10.1007/s00440-004-0386-3
DO - 10.1007/s00440-004-0386-3
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AN - SCOPUS:17444391313
SN - 0178-8051
VL - 132
SP - 1
EP - 12
JO - Probability Theory and Related Fields
JF - Probability Theory and Related Fields
IS - 1
ER -