Limits to consistent on-line forecasting for ergodic time series - Mathematics > ProbabilityReport as inadecuate




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Abstract: This study concerns problems of time-series forecasting under the weakest ofassumptions. Related results are surveyed and are points of departure for thedevelopments here, some of which are new and others are new derivations ofprevious findings. The contributions in this study are all negative, showingthat various plausible prediction problems are unsolvable, or in other cases,are not solvable by predictors which are known to be consistent when mixingconditions hold.



Author: L. Gyorfi, G. Morvai, S. Yakowitz

Source: https://arxiv.org/







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