Inferring the conditional mean

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dc.creatorMorvai, Gusztav
dc.creatorWeiss, Benjamin
dc.date2007-10-19
dc.date.accessioned2026-07-07T09:45:11Z
dc.date.available2026-07-07T09:45:11Z
dc.descriptionConsider a stationary real-valued time series $\{X_n\}_{n=0}^{\infty}$ with a priori unknown distribution. The goal is to estimate the conditional expectation $E(X_{n+1}|X_0,..., X_n)$ based on the observations $(X_0,..., X_n)$ in a pointwise consistent way. It is well known that this is not possible at all values of $n$. We will estimate it along stopping times.
dc.identifierhttps://arxiv.org/abs/0710.3757
dc.identifierhttp://arxiv.org/abs/0710.3757
dc.identifierTheory Stoch. Process. 11 (2005), no. 1-2, pp. 112--120
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/163115
dc.subjectProbability
dc.subjectInformation Theory
dc.titleInferring the conditional mean
dc.typetext

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