Minimax vs. Bayes Prediction
David Blackwell · Probability in the Engineering and Informational Sciences · 1995
Let x = (x1, x2, …) be an infinite sequence of 0's and 1's, initially unknown to you. On day n = 1,2,…, you observe hn = (x1, …, xn–1), the first n – 1 terms of the sequence, and must predict xn. What is a good prediction method, and how well can you do?