Value of information in the binary case and confusion matrix
Conference paper
Belavkin, R., Pardalos, P. and Principe, J. 2022. Value of information in the binary case and confusion matrix. 41st International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering. Paris, France 18 - 22 Jul 2022 MDPI AG. pp. 1-9 https://doi.org/10.3390/psf2022005008
| Type | Conference paper |
|---|---|
| Title | Value of information in the binary case and confusion matrix |
| Authors | Belavkin, R., Pardalos, P. and Principe, J. |
| Abstract | The simplest Bayesian system used to illustrate ideas of probability theory is a coin and a boolean utility function. To illustrate ideas of hypothesis testing, estimation or optimal control, one needs to use at least two coins and a confusion matrix accounting for the utilities of four possible outcomes. Here we use such a system to illustrate the main ideas of Stratonovich’s value of information (VoI) theory in the context of a financial time-series forecast. We demonstrate how VoI can provide a theoretical upper bound on the accuracy of the forecasts facilitating the analysis and optimization of models. |
| Sustainable Development Goals | 9 Industry, innovation and infrastructure |
| Middlesex University Theme | Sustainability |
| Research Group | Artificial Intelligence group |
| Conference | 41st International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering |
| Page range | 1-9 |
| Proceedings Title | Physical Sciences Forum 5, no. 1: The 41st International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering |
| Series | Physical Sciences Forum |
| ISSN | |
| Electronic | 2673-9984 |
| Publisher | MDPI AG |
| Publication dates | |
| Online | 02 Nov 2022 |
| Publication process dates | |
| Deposited | 04 Nov 2022 |
| Accepted | 11 Oct 2022 |
| Output status | Published |
| Publisher's version | License |
| Copyright Statement | Copyright: © 2022 by the authors. Licensee MDPI, Basel, Switzerland. |
| Additional information | The dataset underpinning the research is available: https://doi.org/10.22023/mdx.21436248.v1 |
| Digital Object Identifier (DOI) | https://doi.org/10.3390/psf2022005008 |
| Web address (URL) of conference proceedings | https://www.mdpi.com/2673-9984/5/1 |
| Language | English |
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