Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Generic Variance Bounds on Estimation and Prediction Errors in Time
  Series Analysis: An Entropy Perspective   In this paper, we obtain generic bounds on the variances of estimation and
prediction errors in time series analysis via an information-theoretic
approach. It is seen in general that the error bounds are determined by the
conditional entropy of the data point to be estimated or predicted given the
side information or past observations. Additionally, we discover that in order
to achieve the prediction error bounds asymptotically, the necessary and
sufficient condition is that the "innovation" is asymptotically white Gaussian.
When restricted to Gaussian processes and 1-step prediction, our bounds are
shown to reduce to the Kolmogorov-Szeg\"o formula and Wiener-Masani formula
known from linear prediction theory.

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The categories of this paper are: nlin
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The categories of this paper are: q-fin
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The categories of this paper are: chao-dyn
34
The categories of this paper are: chem-ph
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The categories of this paper are: hep-lat
23
The categories of this paper are: solv-int
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The categories of this paper are: mtrl-th
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The categories of this paper are: dg-ga
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The categories of this paper are: acc-phys
4
The categories of this paper are: cond-mat
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The categories of this paper are: q-bio
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The categories of this paper are: physics
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The categories of this paper are: hep-th
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The categories of this paper are: supr-con
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The categories of this paper are: plasm-ph
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The categories of this paper are: q-alg