Optimal Probability Estimation with Applications to Prediction and Classification

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Jayadev Acharya, Ashkan Jafarpour, Alon Orlitsky, Ananda Theertha Suresh ;
Proceedings of the 26th Annual Conference on Learning Theory, PMLR 30:764-796, 2013.

Abstract

Via a unified viewpoint of probability estimation, classification,and prediction, we derive a uniformly-optimal combined-probability estimator, construct a classifier that uniformly approaches the error of the best possible label-invariant classifier, and improve existing results on pattern prediction and compression.

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