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Activity Number: 151
Type: Contributed
Date/Time: Monday, August 7, 2006 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #307015
Title: Context Tree Estimation for Not Necessarily Finite Memory Processes, via BIC and MDL
Author(s): Zsolt Talata*+ and Imre Csiszar
Companies: Georgia Institute of Technology and Alfréd Rényi Institute of Mathematics
Address: 686 Cherry Street, NW, Atlanta, GA, 30332-0160,
Keywords: model selection ; context tree ; consistent estimation ; Bayesian information criterion (BIC) ; minimum description length (MDL) ; infinite memory
Abstract:

The concept of context tree, usually defined for finite memory processes, is extended to arbitrary stationary ergodic processes (with finite alphabet). These context trees are not necessarily complete, and may be of infinite depth. The familiar Bayesian Information Criterion (BIC) and Minimum Description Length (MDL) principles are shown to provide strongly consistent estimators of the context tree, via optimization of a criterion for hypothetical context trees of finite depth, allowed to grow with the sample size n as o(log n). Algorithms are provided to compute these estimators in O(n) time, and to compute them on-line for all i< =n in o(n log n) time.

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