On Sequential Estimation and Prediction for Discrete Time Series

Gusztav Morvav () and Benjamin Weiss ()

Discussion Paper Series from The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem

Abstract: The problem of extracting as much information as possible from a sequence of observations of a stationary stochastic process X0,X1,…,Xn has been considered by many authors from different points of view. It has long been known through the work of D. Bailey that no universal estimator for P(Xn+1|X0,X1, ...Xn) can be found which converges to the true estimator almost surely. Despite this result, for restricted classes of processes, or for sequences of estimators along stopping times, universal estimators can be found. We present here a survey of some of the recent work that has been done along these lines.

Keywords: Nonparametric estimation; Stationary processes (search for similar items in EconPapers)
Pages: 32 pages
Date: 2007-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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