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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-00593643
Contributor : Antoine Haldemann <>
Submitted on : Monday, May 16, 2011 - 7:28:52 PM
Last modification on : Thursday, January 11, 2018 - 6:19:32 AM

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  • HAL Id : hal-00593643, version 1

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Dinah Rosenberg, Eilon Solan, Nicolas Vieille. Approximating a Sequence of Observations by a Simple Process. 2002. ⟨hal-00593643⟩

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