Adam Q. Jaffe | Searcharxiv

arXiv2021

Virtual Markov chains

We introduce the space of virtual Markov chains (VMCs) as a projective limit of the spaces of all finite state space Markov chains (MCs), in the same way that the space of virtual permutations is the projective limit of the spaces of all permutations of finite sets. We introduce the notions of virtual initial distribution (VID) and a virtual transition matrix (VTM), and we show that the law of any VMC is uniquely characterized by a pair of a VID and VTM which have to satisfy a certain compatibility condition. Lastly, we study various properties of compact convex sets associated to the theory of VMCs, including that the Birkhoff-von Neumann theorem fails in the virtual setting.

math.PR↗

arXiv2020

Limit Theorems for Fr\'echet Mean Sets

For $1\le p \le \infty$, the Fr\'echet $p$-mean of a probability measure on a metric space is an important notion of central tendency that generalizes the usual notions in the real line of mean ($p=2$) and median ($p=1$). In this work we prove a collection of limit theorems for Fr\'echet means and related objects, which, in general, constitute a sequence of random closed sets. On the one hand, we show that many limit theorems (a strong law of large numbers, an ergodic theorem, and a large deviations principle) can be simply descended from analogous theorems on the space of probability measures via purely topological considerations. On the other hand, we provide the first sufficient conditions for the strong law of large numbers to hold in a $T_2$ topology (in particular, the Fell topology), and we show that this condition is necessary in some special cases. We also discuss statistical and computational implications of the results herein.

math.PR↗