Guessing the Output of a Stationary Binary Time Series
Gusztáv Morvai · Contributions to statistics · 2003
The forward prediction problem for a binary time series {X n } ∞ n=0 is to estimate the probability that X n+1 = 1 based on the observations X i , 0 ≤ i ≤ n without prior knowledge of the distribution of the process {X n }. It is known that this is not possible if one estimates at all values of n. We present a simple procedure which will attempt to make such a prediction infinitely often at carefully selected stopping times chosen by the algorithm. The growth rate of the stopping times is also studied. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.