Limits to consistent on-line forecasting for ergodic time series
This correspondence concerns problems of time-series forecasting under the weakest of assumptions. Related results are surveyed and are points of departure for the developments here, some of which are new and others ape new derivations of previous findings. The contributions in this study are all negative, showing that various plausible prediction problems are unsolvable, or in other cases, are not solvable by predictors which are known to be consistent when mixing conditions hold.
forecasting ergodic time series prediction nonparametric estimation