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Stochastics and Statistics Seminar Series Jaouad Mourtada

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Coding convex bodies under Gaussian noise, and the Wills functional

Jaouad Mourtada (ENSAE Paris)
E18-304

Abstract: We consider the problem of sequential probability assignment in the Gaussian setting, where one aims to predict (or equivalently compress) a sequence of real-valued observations almost as well as the best Gaussian distribution with mean constrained to a general domain. First, in the case of a convex constraint set K, we express the hardness…

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