Blind Construction of Optimal Nonlinear Recursive Predictors for Discrete Sequences

MaRDI QIDQ4451013zbMATH OpenFDO

Authors Cosma Rohilla Shalizi

Publication date 22 February 2004

Full work available at URL https://arxiv.org/abs/cs/0406011, http://www.emis.de/journals/DMTCS/proceedings/html/dmAB0102.abs.html

zbMATH Keywords

networksrecursive estimationrandom fieldsinformation theorysufficient statisticsnonlinear prediction

Mathematics Subject Classification ID

Network design and communication in computer systems (68M10)

Abstract: We present a new method for nonlinear prediction of discrete random sequences under minimal structural assumptions. We give a mathematical construction for optimal predictors of such processes, in the form of hidden Markov models. We then describe an algorithm, CSSR (Causal-State Splitting Reconstruction), which approximates the ideal predictor from data. We discuss the reliability of CSSR, its data requirements, and its performance in simulations. Finally, we compare our approach to existing methods using variable-length Markov models and cross-validated hidden Markov models, and show theoretically and experimentally that our method delivers results superior to the former and at least comparable to the latter.

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