Prediction for discrete time series

Let {Xn} be a stationary and ergodic time series taking values from a finite or countably infinite set X . Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times λn along which we will be able to estimate the conditional probability P (Xλn+1 = x|X0, . . . ,Xλn) from data segment (X0, . . . ,Xλn) in a… CONTINUE READING