Limits to Consistent On-Line Forecasting for Ergodic Time Series.
László GyörfiGusztáv MorvaiSidney YakowitzPublished in: IEEE Trans. Inf. Theory (1998)
Keyphrases
- weather forecasting
- financial time series
- forecasting accuracy
- exponential smoothing
- arma model
- chaotic time series
- box jenkins
- short term
- non stationary
- markov chain
- hybrid model
- support vector regression
- multivariate time series
- demand forecasting
- medium term
- mackey glass
- short term prediction
- stock market
- subsequence matching
- turning points
- moving average
- markov process
- arima model
- stationary distribution
- sequential data
- function approximation
- long term
- genetic algorithm
- neural network