Target-Oriented Statistical Compression: Sufficiency, Reverse Martingales, and Sequential Monitoring
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arXiv
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| Format: | Preprint |
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2026
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| _version_ | 1866917533910564864 |
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| author | Chang, Yuan-chin Ivan |
| author_facet | Chang, Yuan-chin Ivan |
| contents | Statistical procedures rarely retain all features of the observed data. A sufficient statistic removes information irrelevant to a parameter; a maximum likelihood estimate compresses an empirical objective into an optimizing point; and a hidden state in a sequential model compresses past observations into a learned representation. This article develops these practices under the unified notion of \emph{target-oriented statistical compression}: a useful summary preserves what matters for an inferential, predictive, or decision-relevant target, rather than every detail of the realized data path.
The central object is the conditional target process \(M_n=\E(Z\given\G_n)\), where \(Z\) is the target and \(\G_n=σ(T_n)\) is the information retained by the compression map \(T_n\). When \((\G_n)\) is a decreasing filtration, \((M_n)\) is a reverse martingale with limit \(M_\infty=\E(Z\given\G_\infty)\). Exact sufficiency corresponds to lossless compression, while approximate summaries such as penalized estimators, principal components, and neural-network hidden states produce reverse quasi-martingale defects measuring coherence loss across compression levels. The diagnostic \(r_n=|M_n-M_{n-1}|\) is treated as an observable stability proxy, not as an unbiased estimator of the theoretical defect.
Boundary degeneracy in sequential binary problems is developed as a central application. Practical boundary claims require joint assessment of boundary closeness, uncertainty control, and trajectory stability. The companion paper \citet{chang2025rm} develops the corresponding stopping procedures, finite-sample bounds, and numerical evidence; the present paper provides the broader theoretical infrastructure and extends the framework to Gaussian, Poisson, and quasi-martingale monitoring problems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_26568 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Target-Oriented Statistical Compression: Sufficiency, Reverse Martingales, and Sequential Monitoring Chang, Yuan-chin Ivan Methodology Information Theory Statistics Theory 60G42, 62F10, 62L12 Statistical procedures rarely retain all features of the observed data. A sufficient statistic removes information irrelevant to a parameter; a maximum likelihood estimate compresses an empirical objective into an optimizing point; and a hidden state in a sequential model compresses past observations into a learned representation. This article develops these practices under the unified notion of \emph{target-oriented statistical compression}: a useful summary preserves what matters for an inferential, predictive, or decision-relevant target, rather than every detail of the realized data path. The central object is the conditional target process \(M_n=\E(Z\given\G_n)\), where \(Z\) is the target and \(\G_n=σ(T_n)\) is the information retained by the compression map \(T_n\). When \((\G_n)\) is a decreasing filtration, \((M_n)\) is a reverse martingale with limit \(M_\infty=\E(Z\given\G_\infty)\). Exact sufficiency corresponds to lossless compression, while approximate summaries such as penalized estimators, principal components, and neural-network hidden states produce reverse quasi-martingale defects measuring coherence loss across compression levels. The diagnostic \(r_n=|M_n-M_{n-1}|\) is treated as an observable stability proxy, not as an unbiased estimator of the theoretical defect. Boundary degeneracy in sequential binary problems is developed as a central application. Practical boundary claims require joint assessment of boundary closeness, uncertainty control, and trajectory stability. The companion paper \citet{chang2025rm} develops the corresponding stopping procedures, finite-sample bounds, and numerical evidence; the present paper provides the broader theoretical infrastructure and extends the framework to Gaussian, Poisson, and quasi-martingale monitoring problems. |
| title | Target-Oriented Statistical Compression: Sufficiency, Reverse Martingales, and Sequential Monitoring |
| topic | Methodology Information Theory Statistics Theory 60G42, 62F10, 62L12 |
| url | https://arxiv.org/abs/2605.26568 |