Related papers: Characterizing predictable classes of processes
Let $Y$ be a Gaussian vector whose components are independent with a common unknown variance. We consider the problem of estimating the mean $\mu$ of $Y$ by model selection. More precisely, we start with a collection…
Probabilities in the multiverse can be calculated by assuming that we are typical representatives in a given reference class. But is this class well defined? What should be included in the ensemble in which we are supposed to be typical?…
We investigate a problem in which each member of a group of learners is trained separately to solve the same classification task. Each learner has access to a training dataset (possibly with overlap across learners) but each trained…
The metric properties of the set in which random variables take their values lead to relevant probabilistic concepts. For example, the mean of a random variable is a best predictor in that it minimizes the standard Euclidean distance or…
We consider the problem of predicting values of a random process or field satisfying a linear model $y(x)=\theta^\top f(x) + \varepsilon(x)$, where errors $\varepsilon(x)$ are correlated. This is a common problem in kriging, where the case…
This paper deals with the problem of estimating predictive densities of a matrix-variate normal distribution with known covariance matrix. Our main aim is to establish some Bayesian predictive densities related to matricial shrinkage…
From the Bayesian perspective, the category of conditional probabilities (a variant of the Kleisli category of the Giry monad, whose objects are measurable spaces and arrows are Markov kernels) gives a nice framework for conceptualization…
One fundamental problem in studying dynamical process is whether it is possible and how to construct prediction model for an unknown system via sampled time series, especially in the modern big data era. The research in this area is…
Considering a minimal number of assumptions and in the context of the timeless formalism, conditional probabilities are derived for subsequent measurements in the non-relativistic regime. Only unitary transformations are considered with…
The predictability of a sequence is defined as the asymptotic performance of the best performing predictor in a given class. The value of the predictability of a sequence will in general depend on the choice of this predictor class. The…
Solomonoff unified Occam's razor and Epicurus' principle of multiple explanations to one elegant, formal, universal theory of inductive inference, which initiated the field of algorithmic information theory. His central result is that the…
We give an overview of statistical models and likelihood, together with two of its variants: penalized and hierarchical likelihood. The Kullback-Leibler divergence is referred to repeatedly, for defining the misspecification risk of a…
Prediction, where observed data is used to quantify uncertainty about a future observation, is a fundamental problem in statistics. Prediction sets with coverage probability guarantees are a common solution, but these do not provide…
We pose causal inference as the problem of learning to classify probability distributions. In particular, we assume access to a collection $\{(S_i,l_i)\}_{i=1}^n$, where each $S_i$ is a sample drawn from the probability distribution of $X_i…
As inductive inference and machine learning methods in computer science see continued success, researchers are aiming to describe ever more complex probabilistic models and inference algorithms. It is natural to ask whether there is a…
The problem of statistical learning is to construct an accurate predictor of a random variable as a function of a correlated random variable on the basis of an i.i.d. training sample from their joint distribution. Allowable predictors are…
The problem of predicting a sequence $x_1,x_2,...$ generated by a discrete source with unknown statistics is considered. Each letter $x_{t+1}$ is predicted using information on the word $x_1x_2... x_t$ only. In fact, this problem is a…
We consider the inverse reinforcement learning problem, that is, the problem of learning from, and then predicting or mimicking a controller based on state/action data. We propose a statistical model for such data, derived from the…
Predicting the winner of an election is of importance to multiple stakeholders. To formulate the problem, we consider an independent sequence of categorical data with a finite number of possible outcomes in each. The data is assumed to be…
As physics searches for invariants in observations, this paper looks for invariants of probabilistic observation without assuming physical structure. Structure emerges from the basic assumption of science that new information shall lead to…