Asymptotically Optimal Prediction for Time-Varying Data Generating Processes

Published

Journal Article

© 1963-2012 IEEE. We develop a methodology (referred to as kinetic prediction) for predicting time series undergoing unknown changes in their data generating distributions. Based on Kolmogorov-Tikhomirov's {\varepsilon } -entropy, we propose a concept called {\varepsilon } -predictability that quantifies the size of a model class (which can be parametric or nonparametric) and the maximal number of abrupt structural changes that guarantee the achievability of asymptotically optimal prediction. Moreover, for parametric distribution families, we extend the aforementioned kinetic prediction with discretized function spaces to its counterpart with continuous function spaces, and propose a sequential Monte Carlo-based implementation. We also extend our methodology for predicting smoothly varying data generating distributions. Under reasonable assumptions, we prove that the average predictive performance converges almost surely to the oracle bound, which corresponds to the case that the data generating distributions are known in advance. The results also shed some light on the so called 'prediction-inference dilemma.' Various examples and numerical results are provided to demonstrate the wide applicability of our methodology.

Full Text

Duke Authors

Cited Authors

  • Ding, J; Zhou, J; Tarokh, V

Published Date

  • May 1, 2019

Published In

Volume / Issue

  • 65 / 5

Start / End Page

  • 3034 - 3067

International Standard Serial Number (ISSN)

  • 0018-9448

Digital Object Identifier (DOI)

  • 10.1109/TIT.2018.2882819

Citation Source

  • Scopus