  In this paper we address the problem of predicting a time series using the
ARMA (autoregressive moving average) model, under minimal assumptions on the
noise terms. Using regret minimization techniques, we develop effective online
learning algorithms for the prediction problem, without assuming that the noise
terms are Gaussian, identically distributed or even independent. Furthermore,
we show that our algorithm's performances asymptotically approaches the
performance of the best ARMA model in hindsight.
