Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes

DOI10.3150/12-BEJ468zbMath1412.62113arXiv1307.6338MaRDI QIDQ358133

Zsolt Talata

Publication date: 16 August 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.6338

zbMATH Keywords

rate of convergenceminimum description lengthoracle inequalitiesinformation criteriapenalized maximum likelihoodfinite memory estimatorinfinite memoryMarkov approximation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15) Statistical aspects of information-theoretic topics (62B10)

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