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On universal algorithms for adaptive forecasting

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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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Authors and Affiliations

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

    V. V. V’yugin

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  1. V. V. V’yugin
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Correspondence to V. V. V’yugin.

Additional information

Original Russian Text © V.V. V’yugin, 2011, published in Problemy Peredachi Informatsii, 2011, Vol. 47, No. 2, pp. 90–116.

The paper is an extended version of a talk [1] given at the Computer Science Symposium in Russia (CSR-2008), Moscow, 2008.

Supported in part by the Russian Foundation for Basic Research, project nos. 09-07-00180a and 09-01-00709a.

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V’yugin, V.V. On universal algorithms for adaptive forecasting. Probl Inf Transm 47, 166–189 (2011). https://doi.org/10.1134/S0032946011020074

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  • DOI: https://doi.org/10.1134/S0032946011020074

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