Generalized Probability Smoothing

In this work we consider a generalized version of Probability Smoothing, the core elementary model for sequential prediction in the state of the art PAQ family of data compression algorithms. Our main contribution is a code length analysis that considers the redundancy of Probability Smoothing with respect to a Piecewise Stationary Source. The analysis holds for a finite alphabet and expresses redundancy in terms of the total variation in probability mass of the stationary distributions of a Piecewise Stationary Source. By choosing parameters appropriately Probability Smoothing has redundancy O(S · √T log T) for sequences of length T with respect to a Piecewise Stationary Source with S segments.