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Sequence prediction for non-stationary processes

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Abstract

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.


BibTeX - Entry

@InProceedings{ryabko_et_al:DagSemProc.06201.6,
  author =	{Ryabko, Daniil and Hutter, Marcus},
  title =	{{Sequence prediction for non-stationary processes}},
  booktitle =	{Combinatorial and Algorithmic Foundations of Pattern and Association Discovery},
  pages =	{1--12},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2006},
  volume =	{6201},
  editor =	{Rudolf Ahlswede and Alberto Apostolico and Vladimir I. Levenshtein},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/opus/volltexte/2006/790},
  URN =		{urn:nbn:de:0030-drops-7900},
  doi =		{10.4230/DagSemProc.06201.6},
  annote =	{Keywords: Sequence prediction, probability forecasting, local absolute continuity}
}

Keywords: Sequence prediction, probability forecasting, local absolute continuity
Seminar: 06201 - Combinatorial and Algorithmic Foundations of Pattern and Association Discovery
Issue date: 2006
Date of publication: 07.11.2006


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