Sharp Minimax Regret for Infinite-Memory Logistic Prediction
TL;DR
This work determines the minimax cumulative log-loss regret of a finite-alphabet, exogenously driven source with genuinely infinite input memory, and shows memory decay cannot determine regret, and that a profile-scaled online Newton predictor attains $O_B(\Gamma_T(r)$ in polynomial time per round.
Abstract
We determine the minimax cumulative log-loss regret of a finite-alphabet, exogenously driven source with genuinely infinite input memory: independent Rademacher inputs $(U_t)$ are observed sequentially and the next binary mark has logit $\sum_{j\ge1}\theta_jU_{t+1-j}$, the unknown coefficients obeying a summable envelope $|\theta_j|\le r_j$, $\sum_jr_j\le B$. At horizon $T$, lag $j$ can move the logit by at most $r_j$ and is exercised in only $n_{T,j}=(T-j+1)_+$ rounds, and the two limitations combine into the sum $\Gamma_T(r)=\sum_{j\le T}\log(1+n_{T,j}r_j^{2})$. One coordinate-localised Bayesian mixture achieves $R_T(r)\le C\Gamma_T(r)$ for \emph{every} summable envelope with $C$ universal. Our main result is a matching nonasymptotic converse for the canonical exponential and polynomial envelopes; its new ingredients are a modular finite-sample information bound for logistic experiments with an exogenous random design, and a conditioning estimate for the overlapping Toeplitz lag matrix obtained by exhibiting each off-diagonal Gram sum as a sum of independent Rademacher variables indexed by the edges of a forest, needing neither local asymptotic normality nor any spectral theorem for random Toeplitz matrices. So $\Gamma_T(r)$ is the minimax regret scale here, giving $\Theta(\alpha^{-1}\log^{2}T)$ for $r_j=Ae^{-\alpha j}$ and $\Theta(T^{1/(2s)})$ for $r_j=Aj^{-s}$, $s>1$ --- the latter without the extra $(\log T)^{1-1/(2s)}$ factor any window-truncation analysis pays. We also show memory decay cannot determine regret, and that a profile-scaled online Newton predictor attains $O_B(\Gamma_T(r))$ in polynomial time per round.
