Sequence prediction for non-stationary processes
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
1-12
Regular Paper
Daniil
Ryabko
Daniil Ryabko
Marcus
Hutter
Marcus Hutter
10.4230/DagSemProc.06201.6
Creative Commons Attribution 4.0 International license
https://creativecommons.org/licenses/by/4.0/legalcode