Experimental Investigation of Forecasting Methods Based on Universal Measures

Autor:	Ryabko, Boris, Pristavka, Pavel
Rok vydání:	2011
Předmět:	Computer Science - Information Theory Physics - Data Analysis Statistics and Probability
Druh dokumentu:	Working Paper
Popis:	We describe and experimentally investigate a method to construct forecasting algorithms for stationary and ergodic processes based on universal measures (or so-called universal data compressors). Using some geophysical and economical time series as examples, we show that the precision of thus obtained predictions is higher than that of known methods. Comment: submitted
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1104.2239 Zobrazit plný text záznamu View this record from Arxiv