Stochastic Prediction

This topic covers the problem of prediction under various statistical assumptions, first of all the randomness assumption and the assumption of ergodicity. Accordingly, many of the known results belong to one of the following areas:

  • Prediction of IID sequences
  • Prediction of stationary ergodic sequences

The main application areas covered by this wiki is filtering.

Most of the results in stochastic prediction are about point predictions or probability predictions. For interval predictions, see conformal prediction.