Empirical risk minimization and complexity of dynamical models (Q2215723)

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Empirical risk minimization and complexity of dynamical models
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    Empirical risk minimization and complexity of dynamical models (English)
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    14 December 2020
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    One investigates the use of an empirical risk minimization approach to the problem of fitting a family of dynamical models to an observed stochastic process. If \(\mathcal{D}\) denotes a family of dynamical models and \(\mathbf{Y}\) is an observed stationary ergodic process, one defines \(R_n(\theta: x)\) as the empirical risk of the model with initial state \(x\) relative to the first observations of \(\mathbf{Y}\). The minimum risk estimates for \(\mathcal{D}\) are introduced as a sequence of measurable functions \(\theta _n\) fulfilling some property. Given the observations, one selects a parameter \(\hat{\theta}_n\) and an initial state \(\hat{x}_n\) such that the couple is an approximate minimizer for \(R_n(\theta: x)\). The minimum risk estimation involves the identification of an optimal or near optimal parameter state-pair, \((\hat{\theta}_n, \hat{x}_n)\). As the authors state, the principal goal of this paper is to characterize the limiting behavior of the minimum risk estimates \(\hat{\theta}_n\). The second section is devoted to a discussion on entropy for families of dynamical models and the third section to a discussion on the following dynamical models: gene regulatory networks, subcritical logistic family and ecology, symbolic dynamics and quasicrystals, toral rotations and almost periodicity. More basics on processes associated to dynamical models are shown in the fourth section. The main results of the article are presented in the fifth section. If the family of dynamical models, the loss function and the observations satisfy some special assumptions, one obtains a variational characterization of the limiting behavior of minimum risk estimates. A further result is concerned with the question if the minimum risk estimation can recover optimal parameters for an underlaying signal process \(\mathbf{V}\) rather that the observed process \(\mathbf{Y}\). Related work is discussed in the sixth section and proofs are contained in the last two sections. One reports that all other proofs can be found in the supplementary material, Appendices A--E (\url{doi:10.1214/19-AOS1875SUPP}).
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    empirical risk minimization
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    dynamical models
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    joinings
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    topological entropy
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