A Bayes prediction algorithm for model class composed of several subclasses

Masayuki Goto, Manabu Kobayashi, Kenta Mikawa, Shigeichi Hirasawa

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    Abstract

    The Bayes coding algorithm for the tree model class is an effective method calculating the prediction probability of appearing symbol at the next time point from the past data under the Bayes criterion. The Bayes optimal prediction is given by the mixture of all models in a given model class, and the Bayes coding algorithm gives an efficient way to calculate a coding probability. This algorithm is applicable to a general prediction problem with Time-series data. Although the Bayes coding algorithm assumes a class of Markov sources, other model classes can be useful for a real prediction problem in practice. For example, the data at the next time point may not always depend on the strict sequence of the past data. It can be possible to construct an efficient Bayes prediction algorithm for a model class on which the probability of the next symbol is conditioned by the cumulative number in a past data sequence. However, there is usually no way to previously know which model class is the best for the observed data sequence. This paper considers the method to mix the prediction probabilities given by the mixtures on different model subclass. If each calculation of the mixtures on subclasses is efficient, the proposed method is also sufficiently efficient. Based on the asymptotic analysis, we evaluate the prediction performance of the proposed method.

    Original languageEnglish
    Title of host publicationProceedings of 2016 International Symposium on Information Theory and Its Applications, ISITA 2016
    PublisherInstitute of Electrical and Electronics Engineers Inc.
    Pages121-125
    Number of pages5
    ISBN (Electronic)9784885523090
    Publication statusPublished - 2017 Feb 2
    Event3rd International Symposium on Information Theory and Its Applications, ISITA 2016 - Monterey, United States
    Duration: 2016 Oct 302016 Nov 2

    Other

    Other3rd International Symposium on Information Theory and Its Applications, ISITA 2016
    CountryUnited States
    CityMonterey
    Period16/10/3016/11/2

    ASJC Scopus subject areas

    • Computer Networks and Communications
    • Hardware and Architecture
    • Information Systems
    • Signal Processing
    • Library and Information Sciences

    Fingerprint Dive into the research topics of 'A Bayes prediction algorithm for model class composed of several subclasses'. Together they form a unique fingerprint.

  • Cite this

    Goto, M., Kobayashi, M., Mikawa, K., & Hirasawa, S. (2017). A Bayes prediction algorithm for model class composed of several subclasses. In Proceedings of 2016 International Symposium on Information Theory and Its Applications, ISITA 2016 (pp. 121-125). [7840398] Institute of Electrical and Electronics Engineers Inc..