Approximating a Sequence of Observations by a Simple Process

Dinah Rosenberg, Eilon Solan () and Nicolas Vieille ()

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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.

Keywords: Approximation sequence; Simple process; Statistical method; Probability distribution; Polyhedron (search for similar items in EconPapers)
Date: 2002-04-24
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Published in 2002

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Working Paper: Approximating a sequence of observations by a simple process (2004)
Working Paper: Approximating a sequence of observations by a simple process (2002)
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