Prediction processes

Some kind of weird time series formalism



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.

References

Blasques, F., S. J. Koopman, and A. Lucas. 2015. “Information-Theoretic Optimality of Observation-Driven Time Series Models for Continuous Responses.” Biometrika 102 (2): 325–43. https://doi.org/10.1093/biomet/asu076.
Cox, D. R., Gudmundur Gudmundsson, Georg Lindgren, Lennart Bondesson, Erik Harsaae, Petter Laake, Katarina Juselius, and Steffen L. Lauritzen. 1981. “Statistical Analysis of Time Series: Some Recent Developments [with Discussion and Reply].” Scandinavian Journal of Statistics 8 (2): 93–115. http://www.jstor.org/stable/4615819.
Davis, Richard A., and Heng Liu. 2012. “Theory and Inference for a Class of Observation-Driven Models with Application to Time Series of Counts.” April 17, 2012. http://arxiv.org/abs/1204.3915.
Douc, Randal, François Roueff, and Tepmony Sim. 2015. “Handy Sufficient Conditions for the Convergence of the Maximum Likelihood Estimator in Observation-Driven Models.” June 5, 2015. http://arxiv.org/abs/1506.01831.
Fernández, Roberto, and Grégory Maillard. n.d. “Chains with Complete Connections: General Theory, Uniqueness, Loss of Memory and Mixing Properties.” Journal of Statistical Physics 118 (3-4): 555–88. https://doi.org/10.1007/s10955-004-8821-5.

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