Sequential prediction under log-loss with side information

Abstract

The problem of online prediction with sequential side information under logarithmic loss is studied, and general upper and lower bounds on the minimax regret incurred by the predictor is established. The upper bounds on the minimax regret are obtained by providing and analyzing a probability assignment inspired by mixture probability assignments in universal compression, and the lower bounds are obtained by way of a redundancy-capacity theorem. The tight characterization of the regret is provided in some special settings.