Sequence prediction for non-stationary processes
Daniil Ryabko, Marcus Hütter · DROPS (Schloss Dagstuhl – Leibniz Center for Informatics) · 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.