Kolmogorov Complexity and Model Selection

Authors:
Nikolay Vereshchagin
Affiliations:
Moscow State University, Moscow, Russia 119991
Venue:
CSR '09 Proceedings of the Fourth International Computer Science Symposium in Russia on Computer Science - Theory and Applications
Year:
2009

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Abstract

The goal of statistics is to provide explanations (models) of observed data.We are given some data and have to infer a plausible probabilistic hypothesis explaining it. Consider, for example, the following scenario.We are given a "black box"We have turned the box on (only once) and it has produced a sequence x of million bits. Given x, we have to infer a hypothesis about the black box.