215 research outputs found
Results on the Redundancy of Universal Compression for Finite-Length Sequences
In this paper, we investigate the redundancy of universal coding schemes on
smooth parametric sources in the finite-length regime. We derive an upper bound
on the probability of the event that a sequence of length , chosen using
Jeffreys' prior from the family of parametric sources with unknown
parameters, is compressed with a redundancy smaller than
for any . Our results also confirm
that for large enough and , the average minimax redundancy provides a
good estimate for the redundancy of most sources. Our result may be used to
evaluate the performance of universal source coding schemes on finite-length
sequences. Additionally, we precisely characterize the minimax redundancy for
two--stage codes. We demonstrate that the two--stage assumption incurs a
negligible redundancy especially when the number of source parameters is large.
Finally, we show that the redundancy is significant in the compression of small
sequences.Comment: accepted in the 2011 IEEE International Symposium on Information
Theory (ISIT 2011
A Parallel Two-Pass MDL Context Tree Algorithm for Universal Source Coding
We present a novel lossless universal source coding algorithm that uses
parallel computational units to increase the throughput. The length- input
sequence is partitioned into blocks. Processing each block independently of
the other blocks can accelerate the computation by a factor of , but
degrades the compression quality. Instead, our approach is to first estimate
the minimum description length (MDL) source underlying the entire input, and
then encode each of the blocks in parallel based on the MDL source. With
this two-pass approach, the compression loss incurred by using more parallel
units is insignificant. Our algorithm is work-efficient, i.e., its
computational complexity is . Its redundancy is approximately
bits above Rissanen's lower bound on universal coding performance,
with respect to any tree source whose maximal depth is at most
Strong Asymptotic Assertions for Discrete MDL in Regression and Classification
We study the properties of the MDL (or maximum penalized complexity)
estimator for Regression and Classification, where the underlying model class
is countable. We show in particular a finite bound on the Hellinger losses
under the only assumption that there is a "true" model contained in the class.
This implies almost sure convergence of the predictive distribution to the true
one at a fast rate. It corresponds to Solomonoff's central theorem of universal
induction, however with a bound that is exponentially larger.Comment: 6 two-column page
Estimation of AR and ARMA models by stochastic complexity
In this paper the stochastic complexity criterion is applied to estimation of
the order in AR and ARMA models. The power of the criterion for short strings
is illustrated by simulations. It requires an integral of the square root of
Fisher information, which is done by Monte Carlo technique. The stochastic
complexity, which is the negative logarithm of the Normalized Maximum
Likelihood universal density function, is given. Also, exact asymptotic
formulas for the Fisher information matrix are derived.Comment: Published at http://dx.doi.org/10.1214/074921706000000941 in the IMS
Lecture Notes Monograph Series
(http://www.imstat.org/publications/lecnotes.htm) by the Institute of
Mathematical Statistics (http://www.imstat.org
On the Convergence Speed of MDL Predictions for Bernoulli Sequences
We consider the Minimum Description Length principle for online sequence
prediction. If the underlying model class is discrete, then the total expected
square loss is a particularly interesting performance measure: (a) this
quantity is bounded, implying convergence with probability one, and (b) it
additionally specifies a `rate of convergence'. Generally, for MDL only
exponential loss bounds hold, as opposed to the linear bounds for a Bayes
mixture. We show that this is even the case if the model class contains only
Bernoulli distributions. We derive a new upper bound on the prediction error
for countable Bernoulli classes. This implies a small bound (comparable to the
one for Bayes mixtures) for certain important model classes. The results apply
to many Machine Learning tasks including classification and hypothesis testing.
We provide arguments that our theorems generalize to countable classes of
i.i.d. models.Comment: 17 page
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