On competitive prediction and its relation to rate-distortion theory

@article{Weissman2003OnCP,
  title={On competitive prediction and its relation to rate-distortion theory},
  author={Tsachy Weissman and Neri Merhav},
  journal={IEEE Trans. Information Theory},
  year={2003},
  volume={49},
  pages={3185-3194}
}
Consider the normalized cumulative loss of a predictor on the sequence = ( 1 . . . ), denoted ( ). For a set of predictors , let ( ) = min ( ) denote the loss of the best predictor in the class on . Given the stochastic process = 1 2 . . . we look at ( ), termed thecompetitive predictability of on . Our interest is in the optimal predictor set of size , i.e., the predictor set achieving min ( ). When is subexponential in , simple arguments show thatmin ( ) coincides, for large , with the… CONTINUE READING
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Theory: A Mathematical Basis for Data Compression

  • T. Berger, Rate-Distortion
  • Englewood Cliffs, N.J: Prentice-Hall,
  • 1971
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