Information theoretic techniques in probability and statistics. Fano, Assouad,and Le Cam methods for optimality guarantees in estimation. Large deviationsand concentration inequalities (Sanov's theorem, hypothesis testing, theentropy method, concentration of measure). Approximation of (Bayes) optimalprocedures, surrogate risks, f-divergences. Penalized estimators and minimumdescription length. Online game playing, gambling, no-regret learning. This course is offered every other year.
3 units · Letter or Credit/No Credit
Information theoretic techniques in probability and statistics. Fano, Assouad,and Le Cam methods for optimality guarantees in estimation. Large deviationsand concentration inequalities (Sanov's theorem, hypothesis testing, theentropy method, concentration of measure). Approximation of (Bayes) optimalprocedures, surrogate risks, f-divergences. Penalized estimators and minimumdescription length. Online game playing, gambling, no-regret learning. This course is offered every other year.