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We describe and experimentally investigate a method to construct forecasting algorithms for stationary and ergodic processes based on universal measures (or so-called universal data compressors). Using the time series of solar activity indices as a research target, we show that the quality of the predictions is higher than that of known methods forecasts.
The paper presents sufficient conditions of predictability for continuous time processes in deterministic setting. We found that processes with exponential decay on energy for higher frequencies are predictable in some weak sense on some finite time horizon defined by the rate of decay. Moreover, this predictability can be achieved uniformly over classes of processes. Some explicit formulas for predictors...
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