On the minimal penalty for Markov order estimation

DOI10.1007/s00440-010-0290-yzbMath1235.62120arXiv0908.3666OpenAlexW3100898496MaRDI QIDQ718903

Ramon van Handel

Publication date: 27 September 2011

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.3666

zbMATH Keywords

Markov chainsmartingale inequalitiesempirical process theorylarge-scale typicalityuniform law of iterated logarithm

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items

Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes, On universal algorithms for classifying and predicting stationary processes

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