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Approximating a sequence of observations by a simple process

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.
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https://hal-hec.archives-ouvertes.fr/hal-00464946
Contributor : Antoine Haldemann <>
Submitted on : Thursday, March 18, 2010 - 2:37:07 PM
Last modification on : Tuesday, October 20, 2020 - 3:56:30 PM

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Dinah Rosenberg, Nicolas Vieille, Eilon Solan. Approximating a sequence of observations by a simple process. Annals of Statistics, Institute of Mathematical Statistics, 2004, Vol.32,n°6, pp.2742-2775. ⟨10.1214/009053604000000643⟩. ⟨hal-00464946⟩

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