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Approximating a Sequence of Observations by a Simple Process

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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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Dates and versions

hal-00593643 , version 1 (16-05-2011)

Identifiers

  • HAL Id : hal-00593643 , version 1

Cite

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

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