Chapter 9 Universal prediction and coding

In this chapter, we explore sequential game playing and online probabilistic prediction schemes. These have applications in coding when the true distribution of the data is unknown, biological algorithms (encoding genomic data, for example), control, and a variety of other areas. The field of universal prediction is broad; in addition to this chapter touching briefly on a few of the techniques therein and their relationships with statistical modeling and inference procedures, relevant reading includes the survey by Merhav and Feder [9], the more recent book of Grünwald [5], and Tsachy Weissman’s EE376c course at Stanford.