Distinguished Lecture Series
Room: DC 1302
Nonparametric prediction and testing
The assumption of randomness (the data are generated in the IID fashion) is the key assumption used in machine learning and much of nonparametric statistics. My main topics will be prediction under this assumption and testing the assumption. The treatment of both topics will be based on the relatively recent technique of conformal prediction, but I will try to connect it with David A. Sprott's ideas and areas of research pointing out some paradoxical features of prediction and testing in the framework of unrestricted randomness. On one hand, they are barely possible, in the sense that the existence of non-trivial prediction and testing procedures is fragile: they cease to exist when the problem settings are modified in natural ways. On the other, such procedures can be highly efficient in realistic situations; I will give both theoretical and experimental results demonstrating this.
Vladimir Vovk is Professor of Computer Science at Royal Holloway, University of London. His research interests include machine learning and the foundations of probability and statistics. He was one of the founders of prediction with expert advice, an area of machine learning avoiding making any statistical assumptions about the data. In 2001 he and Glenn Shafer published a book ("Probability and Finance: It's Only a Game") on new game-theoretic foundations of probability; the sequel ("Game-theoretic Foundations for Probability and Finance") appeared in 2019. His second book ("Algorithmic Learning in a Random World", 2005), co-authored with Alex Gammerman and Glenn Shafer, is the first monograph on conformal prediction, method of machine learning that provides provably valid measures of confidence for their predictions; an expanded and updated second edition has just been published (December 2022). His current research centres on applications of game-theoretic probability to statistics and machine learning.
David A. Sprott (1930-2013)
Professor David Sprott was the first Chair (1967-1975) of the Department of Statistics and Actuarial Science at the University of Waterloo and first Dean of the Faculty of Mathematics (1967-1972). The David Sprott Distinguished Lecture Series was created in recognition of his tremendous leadership at a formative time of our department, as well as his highly influential research in statistical science.