Sequence prediction for non-stationary processes

Authors Daniil Ryabko, Marcus Hutter

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Daniil Ryabko
Marcus Hutter

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Daniil Ryabko and Marcus Hutter. Sequence prediction for non-stationary processes. In Combinatorial and Algorithmic Foundations of Pattern and Association Discovery. Dagstuhl Seminar Proceedings, Volume 6201, pp. 1-12, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2006)


We address the problem of sequence prediction for nonstationary stochastic processes. In particular, given two measures on the set of one-way infinite sequences over a finite alphabet, consider the question whether one of the measures predicts the other. We find some conditions on local absolute continuity under which prediction is possible.
  • Sequence prediction
  • probability forecasting
  • local absolute continuity


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