Someone hands you a coin which has a probability of coming up heads. You can flip the coin as many times as you like (or more precisely, you can flip the coin an infinite number of times). Let be the set of rational numbers in . After each flip, you have to guess one of the following hypotheses: that for a particular , or is irrational. Furthermore, you can only make a finite number of errors for any , where is a set of irrationals of Lebesgue measure 0. Can you do it? If so, how?
COVER, THOMAS M (1973). On determining the irrationality of the mean of a random variable. Ann. Math. Statist. 1862-871.
COVER & HIRSCHLER (1975). A finite memory test of the irrationality of the parameter of a coin. Annals of Statistics, 939-946
I’ll talk about the first paper in this post.
The algorithm is not too complicated — you basically go in stages. For each time you have a function . Think of as piecewise constant. There are two sequences: a threshold , and an interval width .
- Take the sample mean and look at a interval of width centered on it. Note that this makes the same decision for each until changes.
- Given an enumeration of the set , find the smallest such that .
- I there is an such that then declare , otherwise declare
The last thing to do is pick all of these scalings. This is done in the paper (I won’t put it here), but the key thing to use is the law of the iterated logarithm (LIL), which I never really had a proper appreciation for prior to this. For ,
for all but finitely many values of . This gets used to set the interval width .
The cool thing to me about this paper is that it’s an example of “letting the hypothesis class grow with the data.” We’re trying to guess if the coin parameter is rational and if so, which rational. But we can only apprehend a set of hypotheses commensurate with the data we have, so the threshold limits the “complexity” of the hypotheses we are willing to consider at time . The LIL sets the threshold for us so that we don’t make too many errors.
There are lots of little extensions and discussions about the rationality of physical constants, testing for rationality by revealing digits one by one, and other fun ideas. It’s worth a skim for some of the readers of this blog, I’m sure. A miscellaneous last point : Blackwell suggested a Bayesian method for doing this (mentioned in the paper) using martingale arguments.