A simple randomized algorithm for consistent sequential prediction of ergodic time series

László Györfi, Gabor Lugosi and Gusztáv Morvai

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We present a simple randomized procedure for the prediction of a binary sequence. The algorithm uses ideas from recent developments of the theory of the prediction of individual sequences. We show that if the sequence is a realization of a stationary and ergodic random process then the average number of mistakes converges, almost surely, to that of the optimum, given by the Bayes predictor.

Keywords: Prediction; ergodic processes; pattern classification (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 1998-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:282

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