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Predicting non-stationary processes

Ryabko, Daniil; Hutter, Marcus


Suppose we are given two probability measures on the set of one-way infinite finite-alphabet sequences. Consider the question of when one of the measures predicts the other, that is, when conditional probabilities converge (in a certain sense), if one of the measures is chosen to generate the sequence. This question may be considered a refinement of the problem of sequence prediction in its most general formulation: for a given class of probability measures, does there exist a measure which...[Show more]

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
Source: Applied Mathematics Letters
DOI: 10.1016/j.aml.2007.04.004


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