Prediction processes

Some kind of weird time series formalism

April 9, 2021 — April 9, 2021

Placeholder. idk really, but Cosma Shalizi has opinions on unifying some interesting ideas in this area using chains with complete connections. Maybe related (?) predictive processing as a model of the mind.

1 References

Blasques, Koopman, and Lucas. 2015. Information-Theoretic Optimality of Observation-Driven Time Series Models for Continuous Responses.” Biometrika.
Cox, Gudmundsson, Lindgren, et al. 1981. Statistical Analysis of Time Series: Some Recent Developments [with Discussion and Reply].” Scandinavian Journal of Statistics.
Davis, and Liu. 2012. Theory and Inference for a Class of Observation-Driven Models with Application to Time Series of Counts.” arXiv:1204.3915 [Math, Stat].
Douc, Roueff, and Sim. 2015. Handy Sufficient Conditions for the Convergence of the Maximum Likelihood Estimator in Observation-Driven Models.” arXiv:1506.01831 [Math, Stat].
Fernández, and Maillard. n.d. Chains with Complete Connections: General Theory, Uniqueness, Loss of Memory and Mixing Properties.” Journal of Statistical Physics.