Experimental Investigation of Forecasting Methods Based on Universal Measures
Information Theory
2011-04-13 v1 math.IT
Data Analysis, Statistics and Probability
Abstract
We describe and experimentally investigate a method to construct forecasting algorithms for stationary and ergodic processes based on universal measures (or so-called universal data compressors). Using some geophysical and economical time series as examples, we show that the precision of thus obtained predictions is higher than that of known methods.
Cite
@article{arxiv.1104.2239,
title = {Experimental Investigation of Forecasting Methods Based on Universal Measures},
author = {Boris Ryabko and Pavel Pristavka},
journal= {arXiv preprint arXiv:1104.2239},
year = {2011}
}
Comments
submitted