Geodesic
A versatile scheme for predicting renewal times
Kybernetika, Tome 52 (2016) no. 3, pp. 348-358

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There are two kinds of universal schemes for estimating residual waiting times, those where the error tends to zero almost surely and those where the error tends to zero in some integral norm. Usually these schemes are different because different methods are used to prove their consistency. In this note we will give a single scheme where the average error is eventually small for all time instants, while the error itself tends to zero along a sequence of stopping times of density one.
DOI : 10.14736/kyb-2016-3-0348
Classification : 60G10, 60G25, 62G05
Keywords: nonparametric estimation; stationary processes 
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Morvai, Gusztáv; Weiss, Benjamin. A versatile scheme for predicting renewal times. Kybernetika, Tome 52 (2016) no. 3, pp. 348-358. doi: 10.14736/kyb-2016-3-0348

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