Prediction processes

Some kind of weird time series formalism

April 9, 2021 — April 9, 2021

dynamical systems

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.