Experimental investigation of the efficiency of universal measures based forecasting methods

We describe and experimentally investigate a method to construct forecasting algorithms for stationary and ergodic processes based on universal measures (or so-called universal data compressors). Using the time series of solar activity indices as a research target, we show that the quality of the pr...

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Bibliographic Details
Main Authors: Pristavka, P., Ryabko, B.
Format: Conference Proceeding
Language:English
Subjects:
Control systems
Encoding
Estimation
Forecasting
nonparametric methods
Redundancy
solar flux
Time series
Time series analysis
universal coding
universal measure
Weather forecasting
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Summary:We describe and experimentally investigate a method to construct forecasting algorithms for stationary and ergodic processes based on universal measures (or so-called universal data compressors). Using the time series of solar activity indices as a research target, we show that the quality of the predictions is higher than that of known methods forecasts.
DOI:10.1109/RED.2012.6338409