INTERMITTENT ESTIMATION for FINITE ALPHABET FINITARILY MARKOVIAN PROCESSES with EXPONENTIAL TAILS

Gusztáv Morvai, Benjamin Weiss

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)628-646
Number of pages19
JournalKybernetika
Volume57
Issue number4
DOIs
StatePublished - 2021

Bibliographical note

Publisher Copyright:
© 2021 Institute of Information Theory and Automation of The Czech Academy of Sciences. All rights reserved.

Keywords

  • Nonparametric estimation, stationary processes

Fingerprint

Dive into the research topics of 'INTERMITTENT ESTIMATION for FINITE ALPHABET FINITARILY MARKOVIAN PROCESSES with EXPONENTIAL TAILS'. Together they form a unique fingerprint.

Cite this