Exchangeability Characterizes Optimality of Sequential Normalized Maximum Likelihood and Bayesian Prediction
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DOI: 10.1109/tit.2017.2735799
Abstract: We study online learning under logarithmic loss with regular parametric models. In this setting, each strategy corresponds to a joint distribution on sequences. The minimax optimal strategy is the normalized maximum likelihood (NML) strategy. We… read more here.
Keywords: normalized maximum; maximum likelihood; characterizes optimality; strategy ... See more keywords