# Prediction of Locally Stationary Data Using Expert Advice

arXiv: https://arxiv.org/abs/2310.19591 · HTML: https://mlsanity.com/paper/2310.19591/

## Key facts

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- First posted on arXiv 30 Oct 2023.

## Abstract (arXiv)

The problem of continuous machine learning is studied. Within the framework of the game-theoretic approach, when for calculating the next forecast, no assumptions about the stochastic nature of the source that generates the data flow are used -- the source can be analog, algorithmic or probabilistic, its parameters can change at random times, when building a prognostic model, only structural assumptions are used about the nature of data generation. An online forecasting algorithm for a locally stationary time series is presented. An estimate of the efficiency of the proposed algorithm is obtained.