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Register a new userApplications of Universal Source Coding to Statistical Analysis of Time Series
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Added by
Boris Ryabko
Publication date
2008
fields
Informatics Engineering
and research's language is
English
Authors
Boris Ryabko
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We show how universal codes can be used for solving some of the most important statistical problems for time series. By definition, a universal code (or a universal lossless data compressor) can compress any sequence generated by a stationary and ergodic source asymptotically to the Shannon entropy, which, in turn, is the best achievable ratio for lossless data compressors. We consider finite-alphabet and real-valued time series and the following problems: estimation of the limiting probabilities for finite-alphabet time series and estimation of the density for real-valued time series, the on-line prediction, regression, classification (or problems with side information) for both types of the time series and the following problems of hypothesis testing: goodness-of-fit testing, or identity testing, and testing of serial independence. It is important to note that all problems are considered in the framework of classical mathematical statistics and, on the other hand, everyday methods of data compression (or archivers) can be used as a tool for the estimation and testing. It turns out, that quite often the suggested methods and tests are more powerful than known ones when they are applied in practice.
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We provide statistical theory for conditional and unconditional Wasserstein generative adversarial networks (WGANs) in the framework of dependent observations. We prove upper bounds for the excess Bayes risk of the WGAN estimators with respect to a modified Wasserstein-type distance. Furthermore, we formalize and derive statements on the weak convergence of the estimators and use them to develop confidence intervals for new observations. The theory is applied to the special case of high-dimensional time series forecasting. We analyze the behavior of the estimators in simulations based on synthetic data and investigate a real data example with temperature data. The dependency of the data is quantified with absolutely regular beta-mixing coefficients.
Distributed source coding is the task of encoding an input in the absence of correlated side information that is only available to the decoder. Remarkably, Slepian and Wolf showed in 1973 that an encoder that has no access to the correlated side information can asymptotically achieve the same compression rate as when the side information is available at both the encoder and the decoder. While there is significant prior work on this topic in information theory, practical distributed source coding has been limited to synthetic datasets and specific correlation structures. Here we present a general framework for lossy distributed source coding that is agnostic to the correlation structure and can scale to high dimensions. Rather than relying on hand-crafted source-modeling, our method utilizes a powerful conditional deep generative model to learn the distributed encoder and decoder. We evaluate our method on realistic high-dimensional datasets and show substantial improvements in distributed compression performance.
Universal fixed-to-variable lossless source coding for memoryless sources is studied in the finite blocklength and higher-order asymptotics regimes. Optimal third-order coding rates are derived for general fixed-to-variable codes and for prefix codes. It is shown that the non-prefix Type Size code, in which codeword lengths are chosen in ascending order of type class size, achieves the optimal third-order rate and outperforms classical Two-Stage codes. Converse results are proved making use of a result on the distribution of the empirical entropy and Laplaces approximation. Finally, the fixed-to-variable coding problem without a prefix constraint is shown to be essentially the same as the universal guessing problem.
Recently, a series of models have been proposed to predict future movements of people. Meanwhile, dictionary coding algorithms are used to estimate the predictability limit of human mobility. Although dictionary coding is optimal, it takes long time to converge. Consequently, it is ineffective to infer predictability through dictionary coding algorithms. In this report, we illustrate this ineffectiveness on the basis of human movements in urban space.
One of the main focus in federated learning (FL) is the communication efficiency since a large number of participating edge devices send their updates to the edge server at each round of the model training. Existing works reconstruct each model update from edge devices and implicitly assume that the local model updates are independent over edge devices. In FL, however, the model update is an indirect multi-terminal source coding problem, also called as the CEO problem where each edge device cannot observe directly the gradient that is to be reconstructed at the decoder, but is rather provided only with a noisy version. The existing works do not leverage the redundancy in the information transmitted by different edges. This paper studies the rate region for the indirect multiterminal source coding problem in FL. The goal is to obtain the minimum achievable rate at a particular upper bound of gradient variance. We obtain the rate region for the quadratic vector Gaussian CEO problem under unbiased estimator and derive an explicit formula of the sum-rate-distortion function in the special case where gradient are identical over edge device and dimension. Finally, we analyse communication efficiency of convex Minibatched SGD and non-convex Minibatched SGD based on the sum-rate-distortion function, respectively.
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