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Nonparametric density estimation by switching

author: Steven de Rooij, National Research Institute for Mathematics and Computer Science

Description

According to standard MDL and Bayesian model selection, we should (roughly) prefer the model that minimises overall prediction error. But if the goal is to predict well, it may well depend on the sample size which model is most useful to predict the next outcome. By re-interpreting the Bayesian prediction strategies associated with the models as "experts", we can use the various algorithms for "expert tracking" to improve model selection for prediction without introducing a substantial computational overhead.

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Slides
0:00 Tracking the Best Predicting Model
0:10 Model Selection for Prediction
1:00 Bayesian Model Selection
2:05 Example: Wonderland (1)
3:29 Example: Wonderland (2)
3:33 Continued Example: Sequential Prediction
4:58 Observation
7:25 Tracking the Best Model
7:32 Experts
9:05 A first HMM example
10:47 A second HMM (1)
11:36 A second HMM (2)
11:49 Fixed-Share (1)
12:25 Fixed-Share (2)
12:54 Universal Share
13:55 Switch Distribution
15:45 Switching in the Alice example
18:16 Conclusion
22:20 References

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