A Bayes prediction algorithm for model class composed of several subclasses

Masayuki Goto, Manabu Kobayashi, Kenta Mikawa, Shigeichi Hirasawa

    研究成果: Conference contribution

    抄録

    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.

    本文言語English
    ホスト出版物のタイトルProceedings of 2016 International Symposium on Information Theory and Its Applications, ISITA 2016
    出版社Institute of Electrical and Electronics Engineers Inc.
    ページ121-125
    ページ数5
    ISBN(電子版)9784885523090
    出版ステータスPublished - 2017 2 2
    イベント3rd International Symposium on Information Theory and Its Applications, ISITA 2016 - Monterey, United States
    継続期間: 2016 10 302016 11 2

    Other

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

    ASJC Scopus subject areas

    • コンピュータ ネットワークおよび通信
    • ハードウェアとアーキテクチャ
    • 情報システム
    • 信号処理
    • 図書館情報学

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