Channel capacity problem and predictive distribution
- Shiro Ikeda (Institute of Statistical Mathematics, Japan)
The duality between the channel capacity problem and the min-max problem is well-known. In this presentation, we study a similar mini-max problem for prediction. We consider one parameter probability distribution, employ an Bayesian framework, and study the property of the optimal prior. A dual problem is derived naturally, and the optimal prior is proved to be a discrete distribution.