Approximating a sequence of observations by a simple process
Statistics Theory
2007-06-13 v1 Statistics Theory
Abstract
Given an arbitrary long but finite sequence of observations from a finite set, we construct a simple process that approximates the sequence, in the sense that with high probability the empirical frequency, as well as the empirical one-step transitions along a realization from the approximating process, are close to that of the given sequence. We generalize the result to the case where the one-step transitions are required to be in given polyhedra.
Cite
@article{arxiv.math/0508607,
title = {Approximating a sequence of observations by a simple process},
author = {Dinah Rosenberg and Eilon Solan and Nicolas Vieille},
journal= {arXiv preprint arXiv:math/0508607},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/009053604000000643 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)