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Optimal Probability Estimation with Applications to Prediction and Classification
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.