This article is cited in 9 papers

Source Coding

Time series prediction based on data compression methods

A. S. Lysyak^a, B. Ya. Ryabko<sup>ba

a</sup> Novosibirsk State University, Novosibirsk, Russia
^b Institute of Computational Technologies, Siberian Branch of the Russian Academy of Sciences, Novosibirsk, Russia

Abstract: We propose efficient (“fast” and low memory consuming) algorithms for universal-coding-based prediction methods for real-valued time series. Previously, for such methods it was only proved that the prediction error is asymptotically minimal, and implementation complexity issues have not been considered at all. The provided experimental results demonstrate high precision of the proposed methods.

UDC: 621.391.15

Received: 19.03.2015
Revised: 19.12.2015

 English version: Problems of Information Transmission, 2016, 52:1, 92–99

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