On optimal sequential prediction for general processes

Authors:
A. B. Nobel
Affiliations:
Dept. of Stat., Univ. of North Carolina, Chapel Hill, NC, USA
Venue:
IEEE Transactions on Information Theory
Year:
2003

Citing 0
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Abstract

This paper considers several aspects of the sequential prediction problem for unbounded, nonstationary processes under pth power loss ℓp(u,v)=|u-v|p, 1