Forecasting point and continuous processes: Prequential analysis

DOI10.1007/BF02562675zbMath0812.60041WikidataQ62046751 ScholiaQ62046751MaRDI QIDQ1345543

Vladimir Vovk

Publication date: 14 May 1995

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

martingalecounting processcompensatorprobability forecastingprequential principle

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Prediction theory (aspects of stochastic processes) (60G25)

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Cites Work

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• On Testing the Validity of Sequential Probability Forecasts
• On the Decomposition of Continuous Submartingales
• Upper and Lower Probabilities Induced by a Multivalued Mapping
• ON CONTINUOUS MARTINGALES
• Integrability of Expected Increments of Point Processes and a Related Random Change of Scale

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