English

Forecasting for stationary binary time series

Probability 2008-06-19 v1 Information Theory math.IT

Abstract

The forecasting problem for a stationary and ergodic binary time series {Xn}n=0\{X_n\}_{n=0}^{\infty} is to estimate the probability that Xn+1=1X_{n+1}=1 based on the observations XiX_i, 0in0\le i\le n without prior knowledge of the distribution of the process {Xn}\{X_n\}. It is known that this is not possible if one estimates at all values of nn. We present a simple procedure which will attempt to make such a prediction infinitely often at carefully selected stopping times chosen by the algorithm. We show that the proposed procedure is consistent under certain conditions, and we estimate the growth rate of the stopping times.

Keywords

Cite

@article{arxiv.0710.5144,
  title  = {Forecasting for stationary binary time series},
  author = {Gusztav Morvai and Benjamin Weiss},
  journal= {arXiv preprint arXiv:0710.5144},
  year   = {2008}
}
R2 v1 2026-06-21T09:36:58.373Z