Weakly convergent nonparametric forecasting of stationary time series
IEEE Transactions on Information Theory
Limits to consistent on-line forecasting for ergodic time series
IEEE Transactions on Information Theory
IEEE Transactions on Information Theory
A simple randomized algorithm for sequential prediction of ergodic time series
IEEE Transactions on Information Theory
Strongly consistent online forecasting of centered Gaussian processes
IEEE Transactions on Information Theory
Estimating the Lengths of Memory Words
IEEE Transactions on Information Theory
| Hi-index | 754.85 |
Let {Xn}n=0∞ be a stationary real-valued Gaussian time series. We estimate the conditional expectation E(Xn+1|X0,...,Xn) from a growing number of observations X0,...,Xn in a pointwise consistent way along a sequence of stopping times.