Intermittent estimation for finite alphabet finitarily Markovian processes with exponential tails

Title:

Intermittent estimation for finite alphabet finitarily Markovian processes with exponential tails

Creator:

Morvai, Gusztáv and Weiss, Benjamin

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:c6389304-51ba-40a0-b9ed-ff0220b73f0a
uuid:c6389304-51ba-40a0-b9ed-ff0220b73f0a
doi:10.14736/kyb-2021-4-0628

Subject:

stationary processes and nonparametric estimation

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

We give some estimation schemes for the conditional distribution and conditional expectation of the the next output following the observation of the first n outputs of a stationary process where the random variables may take finitely many possible values. Our schemes are universal in the class of finitarily Markovian processes that have an exponential rate for the tail of the look back time distribution. In addition explicit rates are given. A necessary restriction is that the scheme proposes an estimate only at certain stopping times, but these have density one so that one rarely fails to give an estimate.

Language:

English

Rights:

http://creativecommons.org/licenses/by-nc-sa/4.0/
policy:public

Coverage:

628-646

Source:

Kybernetika | 2021 Volume:57 | Number:4

Harvested from:

CDK

Metadata only:

false