EBSLG

 

 
European Business Schools Librarian's Group
Home About Series Subject/JEL codes Advanced Search
HEC Paris. Research Department Les Cahiers de Recherche - HEC Paris
 

No 756:
Approximating a sequence of observations by a simple process

Nicolas VIEILLE, Dinah ROSENBERG () and Eilon SOLAN ()

Abstract: Given a sequence (s0; s1,..., sN) of observations from a finite set S, we construct a process (sn)n_<N that satisfies the following properties: (i) (Sn)n_< ĚN is a piecewise Markov chain, (ii) the conditional distribution of sn given S0,...,Sn-1 is close to the empirical transition given by the observed sequence, for most n's, (iii) under (Sn)n_<N, with high probability the empirical frequency of the realized sequence is close to the one given by the observed sequence. We generalize this result to the case that the conditional distribution of Sn given S0,...,Sn-1 is required to be in some polyhedron Vs n-1.

Keywords: Markov chains; approximation theory; (follow links to similar papers)

JEL-Codes: C40; C44; (follow links to similar papers)

29 pages, April 24, 2002

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

0ee2c70f7684cda64e693ed34f6b46f8.pdf    PDF-file
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Sandra Dupouy ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design Joakim Ekebom

Handle: RePEc:ebg:heccah:0756 This page was generated on 2014-12-14 17:56:18