ICML 2016poster9 citations
Heteroscedastic Sequences: Beyond Gaussianity
Abstract
We address the problem of sequential prediction in the heteroscedastic setting, when both the signal and its variance are assumed to depend on explanatory variables. By applying regret minimization techniques, we devise an efficient online learning algorithm for the problem, without assuming that the error terms comply with a specific distribution. We show that our algorithm can be adjusted to provide confidence bounds for its predictions, and provide an application to ARCH models. The theoretic results are corroborated by an empirical study.
BibTeX
@InProceedings{pmlr-v48-anava16,
title = {Heteroscedastic Sequences: Beyond Gaussianity},
author = {Anava, Oren and Mannor, Shie},
booktitle = {Proceedings of The 33rd International Conference on Machine Learning},
pages = {755--763},
year = {2016},
editor = {Balcan, Maria Florina and Weinberger, Kilian Q.},
volume = {48},
series = {Proceedings of Machine Learning Research},
address = {New York, New York, USA},
month = {20--22 Jun},
publisher = {PMLR},
pdf = {http://proceedings.mlr.press/v48/anava16.pdf},
url = {https://proceedings.mlr.press/v48/anava16.html},
abstract = {We address the problem of sequential prediction in the heteroscedastic setting, when both the signal and its variance are assumed to depend on explanatory variables. By applying regret minimization techniques, we devise an efficient online learning algorithm for the problem, without assuming that the error terms comply with a specific distribution. We show that our algorithm can be adjusted to provide confidence bounds for its predictions, and provide an application to ARCH models. The theoretic results are corroborated by an empirical study.}
}