Approximating a sequence of observations by a simple process

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Date

1 décembre 2004

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Périmètre
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HAL-SHS : économie et finance

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Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1214/009053604000000643

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Archives ouvertes

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Centre pour la communication scientifique directe

Mots-clés En

Markov chains data approximation nonhomogenous Markov chains hidden Markov chains

Sujets proches En

Service of process Service of papers Abuse of process Process Markov models Markoff processes Analysis, Markov Models, Markov Markov analysis Chains, Markov Markov chains Processes, Markov

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Dinah Rosenberg et al., « Approximating a sequence of observations by a simple process », HAL-SHS : économie et finance, ID : 10.1214/009053604000000643

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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.

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