Piecewise constant prediction

Erik Ordentlich, Marcelo J. Weinberger, Yihong Wu

Research output: Contribution to journalArticlepeer-review

Abstract

Minimax prediction of binary sequences is investigated for cases in which the predictor is forced to issue a piecewise constant prediction. The minimax strategy is characterized for Hamming loss whereas, for logarithmic loss, an asymptotically minimax strategy which achieves the leading term of the asymptotic minimax redundancy, is proposed. The average redundancy case is also analyzed for i.i.d. distributions. The piecewise constant prediction paradigm may be of relevance to resource constrained settings.

Original languageEnglish (US)
JournalHP Laboratories Technical Report
Issue number114
StatePublished - 2012

ASJC Scopus subject areas

  • Software
  • Hardware and Architecture
  • Computer Networks and Communications

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