Abstract
A simple renewal process is a stochastic process {Xn} taking values in f0; 1g where the lengths of the runs of 1's between successive zeros are independent and identically distributed. After observing X0,X1, ... Xn one would like to estimate the time remaining until the next occurrence of a zero, and the problem of universal estimators is to do so without prior knowledge of the distribution of the process. We give some universal estimates with rates for the expected time to renewal as well as for the conditional distribution of the time to renewal.
Original language | English |
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Pages (from-to) | 601-616 |
Number of pages | 16 |
Journal | Kybernetika |
Volume | 56 |
Issue number | 4 |
DOIs | |
State | Published - 2020 |
Bibliographical note
Publisher Copyright:© 2020 Institute of Information Theory and Automation of The Czech Academy of Sciences. All rights reserved.
Keywords
- Prediction methods
- Renewal theory
- Statistical inference
- Statistical learning