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Abstract: Consider a stationary real-valued time series $\{X n\} {n=0}^{\infty}$ with apriori unknown distribution. The goal is to estimate the conditionalexpectation $EX {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 possibleat all values of $n$. We will estimate it along stopping times.



Autor: Gusztav Morvai, Benjamin Weiss

Fuente: https://arxiv.org/



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