3 papers
stat.AP2026
On the Limits of Prediction: Forecastability Profiles and Information Decay in Time Series
Peter Maurice Catt
Forecasting accuracy is bounded by the information available about the future. This paper makes that statement precise using information-theoretic tools. Under logarithmic loss, th…
stat.AP2026
Forecastability as an Information-Theoretic Limit on Prediction
Peter Maurice Catt
Forecasting is usually framed as a problem of model choice. This paper starts earlier, asking how much predictive information is available at each horizon. Under logarithmic loss,…
stat.AP2026
Horizon-resolved Forecastability of Time Series via Auto Mutual Information
Peter Maurice Catt
In many social, business, economic, and physical systems the true data-generating process is rarely known, so a series forecastability cannot be assumed; it must be assessed from t…