Nonparametric sequential prediction for stationary processes

Gusztáv Morvai, Benjamin Weiss

We study the problem of finding an universal estimation scheme $h_n:{\mathbb{R}}^n\to \mathbb{R}$, $n=1,2,...$ which will satisfy \lim_{t\rightarrow\infty}{\frac{1}{t}}\sum_{i=1}^t|h…