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Probl. Peredachi Inf., 2011, Volume 47, Issue 2, Pages 90–116 (Mi ppi2047)  

Large Systems

On universal algorithms for adaptive forecasting

V. V. V'yugin

Kharkevich Institute for Information Transmission Problems, Russian Academy of Sciences, Moscow

Abstract: In the last decade, new methods of forecasting were developed different from traditional statistical methods. In particular, it is possible to “efficiently” predict any sequence of outcomes without using any hypothesis on the nature of a source generating it. In the present paper, a modified version of the universal forecasting algorithm is considered. The main part of the paper is devoted to algorithmic analysis of universal forecasting methods and to exploring limits of their performance.

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English version:
Problems of Information Transmission, 2011, 47:2, 166–189

Bibliographic databases:

UDC: 621.391.1+519.2
Received: 06.11.2008
Revised: 18.01.2011

Citation: V. V. V'yugin, “On universal algorithms for adaptive forecasting”, Probl. Peredachi Inf., 47:2 (2011), 90–116; Problems Inform. Transmission, 47:2 (2011), 166–189

Citation in format AMSBIB
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\paper On universal algorithms for adaptive forecasting
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\vol 47
\issue 2
\pages 90--116
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\jour Problems Inform. Transmission
\yr 2011
\vol 47
\issue 2
\pages 166--189
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