On Probability Estimation via Relative Frequencies and Discount

Probability estimation is an elementary building block of every statistical data compression algorithm. In practice probability estimation is often based on relative letter frequencies which get scaled down, when their sum is too large. Such algorithms are attractive in terms of memory requirements, running time and practical performance. However, there still is a lack of theoretical understanding. In this work we formulate a typical probability estimation algorithm based on relative frequencies and frequency discount, Algorithm RFD. Our main contribution is its theoretical analysis. We show that the code length it requires above an arbitrary piecewise stationary model with bounded and unbounded letter probabilities is small. This theoretically confirms the recency effect of periodic frequency discount, which has often been observed empirically

Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes

Stationary ergodic processes with finite alphabets are estimated by finite memory processes from a sample, an n-length realization of the process, where the memory depth of the estimator process is also estimated from the sample using penalized maximum likelihood (PML). Under some assumptions on the continuity rate and the assumption of non-nullness, a rate of convergence in $\bar{d}$-distance is obtained, with explicit constants. The result requires an analysis of the divergence of PML Markov order estimators for not necessarily finite memory processes. This divergence problem is investigated in more generality for three information criteria: the Bayesian information criterion with generalized penalty term yielding the PML, and the normalized maximum likelihood and the Krichevsky-Trofimov code lengths. Lower and upper bounds on the estimated order are obtained. The notion of consistent Markov order estimation is generalized for infinite memory processes using the concept of oracle order estimates, and generalized consistency of the PML Markov order estimator is presented.Comment: Published in at http://dx.doi.org/10.3150/12-BEJ468 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Gaussian semi-parametric estimation of fractional cointegration

We analyse consistent estimation of the memory parameters of a nonstationary fractionally cointegrated vector time series. Assuming that the cointegrating relationship has substantially less memory than the observed series, we show that a multi-variate Gaussian semi-parametric estimate, based on initial consistent estimates and possibly tapered observations, is asymptotically normal. The estimates of the memory parameters can rely either on original (for stationary errors) or on differenced residuals (for nonstationary errors) assuming only a convergence rate for a preliminary slope estimate. If this rate is fast enough, semi-parametric memory estimates are not affected by the use of residuals and retain the same asymptotic distribution as if the true cointegrating relationship were known. Only local conditions on the spectral densities around zero frequency for linear processes are assumed. We concentrate on a bivariate system but discuss multi-variate generalizations and show the performance of the estimates with simulated and real data.Publicad

Randomized Sketches of Convex Programs with Sharp Guarantees

Random projection (RP) is a classical technique for reducing storage and computational costs. We analyze RP-based approximations of convex programs, in which the original optimization problem is approximated by the solution of a lower-dimensional problem. Such dimensionality reduction is essential in computation-limited settings, since the complexity of general convex programming can be quite high (e.g., cubic for quadratic programs, and substantially higher for semidefinite programs). In addition to computational savings, random projection is also useful for reducing memory usage, and has useful properties for privacy-sensitive optimization. We prove that the approximation ratio of this procedure can be bounded in terms of the geometry of constraint set. For a broad class of random projections, including those based on various sub-Gaussian distributions as well as randomized Hadamard and Fourier transforms, the data matrix defining the cost function can be projected down to the statistical dimension of the tangent cone of the constraints at the original solution, which is often substantially smaller than the original dimension. We illustrate consequences of our theory for various cases, including unconstrained and $\ell_1$-constrained least squares, support vector machines, low-rank matrix estimation, and discuss implications on privacy-sensitive optimization and some connections with de-noising and compressed sensing