Articles

Approximating a Sequence of Observations by a Simple Process

D. ROSENBERG, E. Solan, N. VIEILLE

Annals of Statistics

2004, vol. 32, n°6, pp.2742-2775

Departments: Economics & Decision Sciences, GREGHEC (CNRS)


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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