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Approximating a sequence of observations by a simple process

Dinah Rosenberg·Eilon Solan·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.

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Dinah Rosenberg, Eilon Solan, Nicolas Vieille. 2005-08-30. Approximating a sequence of observations by a simple process. https://doi.org/10.1214/009053604000000643

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