LIMITS TO CONSISTENT ONLINE FORECASTING FOR ERGODIC TIME-SERIES

Authors
GYORFI L MORVAI G YAKOWITZ SJ
Citation
L. Gyorfi et al., LIMITS TO CONSISTENT ONLINE FORECASTING FOR ERGODIC TIME-SERIES, IEEE transactions on information theory, 44(2), 1998, pp. 886-892
Citations number
19
Categorie Soggetti
Computer Science Information Systems","Engineering, Eletrical & Electronic","Computer Science Information Systems
Journal title
IEEE transactions on information theory → ACNP
ISSN journal
00189448
Volume
44
Issue
2
Year of publication
1998
Pages
886 - 892
Database
ISI
SICI code
0018-9448(1998)44:2<886:LTCOFF>2.0.ZU;2-R
Abstract
This correspondence concerns problems of time-series forecasting under the weakest of assumptions. Related results are surveyed and are poin ts of departure for the developments here, some of which are new and o thers ape new derivations of previous findings. The contributions in t his study are all negative, showing that various plausible prediction problems are unsolvable, or in other cases, are not solvable by predic tors which are known to be consistent when mixing conditions hold.