Estimating lower bounds for time series prediction error
Name
1227276707-MIT.pdf
Size
2.28 MB
Format
Adobe PDF
Checksum (MD5)
0ab36befcb77324ccdd63bb22d4229b6
Author(s)
Rho, Saeyoung.
Advisor(s)
Devavrat Shah.
Date Issued
2020
Publisher
Massachusetts Institute of Technology
Abstract
Research on how to evaluate the time series prediction algorithms are relatively under investigated compared to those to develop prediction algorithms. This research presents a way to estimate lower bounds for a time series prediction error by utilizing the conditional entropy rate, which allows us to take the inherent difficulty of a problem into account. The main focus of this research is on a discrete time series composed of discrete random variables, and stationarity of the time series is assumed. In this thesis, the lower bound is estimated based on the Fano's inequality, which shows the relationship between the conditional entropy rate and prediction error. Therefore, a method to approximate the entropy rate using the Lempel-Ziv compressor is suggested as a subroutine. Also, a discretization method is introduced to adopt this approach to real-valued sequences. Finally, the method is validated for both discrete and continuous distributions, and applications with real-world datasets are demonstrated. The proposed error lower bound can serve as an objective criterion to evaluate the current status of the algorithm and has the potential to aid the technocratic knowledge assessment process in science that involves discrete time series prediction problem.
Description
Thesis: S.M. in Technology and Policy, Massachusetts Institute of Technology, School of Engineering, Institute for Data, Systems, and Society, Technology and Policy Program, September, 2020
Thesis: S.M. Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, September, 2020
Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (pages 67-69).
Subjects
Institute for Data, Systems, and Society.
Technology and Policy Program.
Electrical Engineering and Computer Science.
MIT Department
Massachusetts Institute of Technology. Institute for Data, Systems, and Society
Technology and Policy Program
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
Massachusetts Institute of Technology. Engineering Systems Division
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