Statistics Papers
Document Type
Journal Article
Date of this Version
1991
Publication Source
The Annals of Statistics
Volume
19
Issue
2
Start Page
1084
Last Page
1090
DOI
10.1214/aos/1176348140
Abstract
A predictor is a method of estimating the probability of future events over an infinite data sequence. One predictor is as strong as another if for all data sequences the former has at most the mean square error (MSE) of the latter. Given any countable set D of predictors, we explicitly construct a predictor S that is at least as strong as every element of D. Finite sample bounds are also given which hold uniformly on the space of all possible data.
Keywords
comparing forecasts, worst-case behavior, mean square error
Recommended Citation
Foster, D. P. (1991). Prediction in the Worst Case. The Annals of Statistics, 19 (2), 1084-1090. http://dx.doi.org/10.1214/aos/1176348140
Date Posted: 27 November 2017
This document has been peer reviewed.
Comments
At the time of publication, author Dean Foster was affiliated with the University of Chicago. Currently, he is a faculty member at the Statistics Department at the University of Pennsylvania.