A Theory of Selective Prediction.

We consider a model of selective prediction, where the prediction algorithm is given a data sequence in an online fashion and asked to predict a pre-specified statistic of the upcoming data points. The algorithm is allowed to choose when to make the prediction as well as the length of the prediction window, possibly depending on the observations so far. We prove that, even without any distributional assumption on the input data stream, a large family of statistics can be estimated to non-trivial accuracy. To give one concrete example, suppose that we are given access to an arbitrary binary sequence $x_1, \ldots, x_n$ of length $n$. Our goal is to accurately predict the average observation, and we are allowed to choose the window over which the prediction is made: for some $t < n$ and $m \le n - t$, after seeing $t$ observations we predict the average of $x_{t+1}, \ldots, x_{t+m}$. We show that the expected squared error of our prediction can be bounded by $O\left(\frac{1}{\log n}\right)$, and prove a matching lower bound. This result holds for any sequence (that is not adaptive to when the prediction is made, or the predicted value), and the expectation of the error is with respect to the randomness of the prediction algorithm. Our results apply to more general statistics of a sequence of observations, and we highlight several open directions for future work.