49,297 research outputs found
Algorithmic statistics revisited
The mission of statistics is to provide adequate statistical hypotheses
(models) for observed data. But what is an "adequate" model? To answer this
question, one needs to use the notions of algorithmic information theory. It
turns out that for every data string one can naturally define
"stochasticity profile", a curve that represents a trade-off between complexity
of a model and its adequacy. This curve has four different equivalent
definitions in terms of (1)~randomness deficiency, (2)~minimal description
length, (3)~position in the lists of simple strings and (4)~Kolmogorov
complexity with decompression time bounded by busy beaver function. We present
a survey of the corresponding definitions and results relating them to each
other
Algorithmic statistics: forty years later
Algorithmic statistics has two different (and almost orthogonal) motivations.
From the philosophical point of view, it tries to formalize how the statistics
works and why some statistical models are better than others. After this notion
of a "good model" is introduced, a natural question arises: it is possible that
for some piece of data there is no good model? If yes, how often these bad
("non-stochastic") data appear "in real life"?
Another, more technical motivation comes from algorithmic information theory.
In this theory a notion of complexity of a finite object (=amount of
information in this object) is introduced; it assigns to every object some
number, called its algorithmic complexity (or Kolmogorov complexity).
Algorithmic statistic provides a more fine-grained classification: for each
finite object some curve is defined that characterizes its behavior. It turns
out that several different definitions give (approximately) the same curve.
In this survey we try to provide an exposition of the main results in the
field (including full proofs for the most important ones), as well as some
historical comments. We assume that the reader is familiar with the main
notions of algorithmic information (Kolmogorov complexity) theory.Comment: Missing proofs adde
Assessing the impact of algorithmic trading on markets: a simulation approach
Innovative automated execution strategies like Algorithmic Trading gain significant market share on electronic market venues worldwide, although their impact on market outcome has not been investigated in depth yet. In order to assess the impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is presented that provides stylized implementations of algorithmic trading behavior and allows for modeling latency. As simulations allow for reproducing exactly the same basic situation, an assessment of the impact of algorithmic trading models can be conducted by comparing different simulation runs including and excluding a trader constituting an algorithmic trading model in its trading behavior. By this means the impact of Algorithmic Trading on different characteristics of market outcome can be assessed. The results indicate that large volumes to execute by the algorithmic trader have an increasing impact on market prices. On the other hand, lower latency appears to lower market volatility
Effective complexity of stationary process realizations
The concept of effective complexity of an object as the minimal description
length of its regularities has been initiated by Gell-Mann and Lloyd. The
regularities are modeled by means of ensembles, that is probability
distributions on finite binary strings. In our previous paper we propose a
definition of effective complexity in precise terms of algorithmic information
theory. Here we investigate the effective complexity of binary strings
generated by stationary, in general not computable, processes. We show that
under not too strong conditions long typical process realizations are
effectively simple. Our results become most transparent in the context of
coarse effective complexity which is a modification of the original notion of
effective complexity that uses less parameters in its definition. A similar
modification of the related concept of sophistication has been suggested by
Antunes and Fortnow.Comment: 14 pages, no figure
Algorithmic Randomness as Foundation of Inductive Reasoning and Artificial Intelligence
This article is a brief personal account of the past, present, and future of
algorithmic randomness, emphasizing its role in inductive inference and
artificial intelligence. It is written for a general audience interested in
science and philosophy. Intuitively, randomness is a lack of order or
predictability. If randomness is the opposite of determinism, then algorithmic
randomness is the opposite of computability. Besides many other things, these
concepts have been used to quantify Ockham's razor, solve the induction
problem, and define intelligence.Comment: 9 LaTeX page
Algorithmic Statistics
While Kolmogorov complexity is the accepted absolute measure of information
content of an individual finite object, a similarly absolute notion is needed
for the relation between an individual data sample and an individual model
summarizing the information in the data, for example, a finite set (or
probability distribution) where the data sample typically came from. The
statistical theory based on such relations between individual objects can be
called algorithmic statistics, in contrast to classical statistical theory that
deals with relations between probabilistic ensembles. We develop the
algorithmic theory of statistic, sufficient statistic, and minimal sufficient
statistic. This theory is based on two-part codes consisting of the code for
the statistic (the model summarizing the regularity, the meaningful
information, in the data) and the model-to-data code. In contrast to the
situation in probabilistic statistical theory, the algorithmic relation of
(minimal) sufficiency is an absolute relation between the individual model and
the individual data sample. We distinguish implicit and explicit descriptions
of the models. We give characterizations of algorithmic (Kolmogorov) minimal
sufficient statistic for all data samples for both description modes--in the
explicit mode under some constraints. We also strengthen and elaborate earlier
results on the ``Kolmogorov structure function'' and ``absolutely
non-stochastic objects''--those rare objects for which the simplest models that
summarize their relevant information (minimal sufficient statistics) are at
least as complex as the objects themselves. We demonstrate a close relation
between the probabilistic notions and the algorithmic ones.Comment: LaTeX, 22 pages, 1 figure, with correction to the published journal
versio
The Computational Structure of Spike Trains
Neurons perform computations, and convey the results of those computations
through the statistical structure of their output spike trains. Here we present
a practical method, grounded in the information-theoretic analysis of
prediction, for inferring a minimal representation of that structure and for
characterizing its complexity. Starting from spike trains, our approach finds
their causal state models (CSMs), the minimal hidden Markov models or
stochastic automata capable of generating statistically identical time series.
We then use these CSMs to objectively quantify both the generalizable structure
and the idiosyncratic randomness of the spike train. Specifically, we show that
the expected algorithmic information content (the information needed to
describe the spike train exactly) can be split into three parts describing (1)
the time-invariant structure (complexity) of the minimal spike-generating
process, which describes the spike train statistically; (2) the randomness
(internal entropy rate) of the minimal spike-generating process; and (3) a
residual pure noise term not described by the minimal spike-generating process.
We use CSMs to approximate each of these quantities. The CSMs are inferred
nonparametrically from the data, making only mild regularity assumptions, via
the causal state splitting reconstruction algorithm. The methods presented here
complement more traditional spike train analyses by describing not only spiking
probability and spike train entropy, but also the complexity of a spike train's
structure. We demonstrate our approach using both simulated spike trains and
experimental data recorded in rat barrel cortex during vibrissa stimulation.Comment: Somewhat different format from journal version but same conten
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