Revisiting Context-Tree Weighting for Bayesian Inference
Kontoyiannis, Ioannis https://orcid.org/0000-0001-7242-6375
We revisit the statistical foundation of the celebrated context tree weighting (CTW) algorithm, and we develop a Bayesian modelling framework for the class of higher-order, variable-memory Markov chains, along with an associated collection of methodological tools for exact inference for discrete time series. In addition to deterministic algorithms that learn the a posteriori most likely models and compute their posterior probabilities, we introduce a family of variable-dimension Markov chain Monte Carlo samplers, facilitating further exploration of the posterior. The performance of the proposed methods in model selection, Markov order estimation and prediction is illustrated through simulation experiments and real-world applications.
Online Publication Date
49 Mathematical Sciences, 46 Information and Computing Sciences, 4905 Statistics, 4611 Machine Learning, 2.5 Research design and methodologies (aetiology), 2 Aetiology
IEEE International Symposium on Information Theory - Proceedings