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A consistent deterministic regression tree for non-parametric prediction of time series (1405.1533v2)
Published 7 May 2014 in math.ST, cs.LG, stat.ML, and stat.TH
Abstract: We study online prediction of bounded stationary ergodic processes. To do so, we consider the setting of prediction of individual sequences and build a deterministic regression tree that performs asymptotically as well as the best L-Lipschitz constant predictors. Then, we show why the obtained regret bound entails the asymptotical optimality with respect to the class of bounded stationary ergodic processes.
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