Date of this Version
The Annals of Statistics
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.
comparing forecasts, worst-case behavior, mean square error
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.