Forecast Ergodicity: Prediction Modeling Using Algorithmic Information Theory

04/21/2023

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by   Glauco Amigo, et al.

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The capabilities of machine intelligence are bounded by the potential of data from the past to forecast the future. Deep learning tools are used to find structures in the available data to make predictions about the future. Such structures have to be present in the available data in the first place and they have to be applicable in the future. Forecast ergodicity is a measure of the ability to forecast future events from data in the past. We model this bound by the algorithmic complexity of the available data.