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Generic Bounds on the Maximum Deviations in Sequential Prediction: An Information-Theoretic Analysis - MaRDI portal

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Generic Bounds on the Maximum Deviations in Sequential Prediction: An Information-Theoretic Analysis

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Publication:6327240

arXiv1910.06742MaRDI QIDQ6327240

Author name not available (Why is that?)

Publication date: 11 October 2019

Abstract: In this paper, we derive generic bounds on the maximum deviations in prediction errors for sequential prediction via an information-theoretic approach. The fundamental bounds are shown to depend only on the conditional entropy of the data point to be predicted given the previous data points. In the asymptotic case, the bounds are achieved if and only if the prediction error is white and uniformly distributed.












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