Large deviations and the Bayesian estimation of higher-order Markov transition functions

DOI10.2307/3215260MaRDI QIDQ4877400zbMATH OpenOpenAlexFDO

Authors F. Papangelou

Publication date 16 September 1996

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3215260

zbMATH Keywords

exponential decayhigher-order transition functionslarge deviationsMarkov chainsposterior distributionsrelative entropy

Mathematics Subject Classification ID

Large deviations (60F10) Strong limit theorems (60F15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Bayesian analysis for finite Markov chains
• scientific article; zbMATH DE number 4117694
• Large deviations for Bayesian estimators in first-order autoregressive processes
• On risk rates and large deviations in finite Markov chain experiments

Cited in

(3)

• The consistency of the BIC Markov order estimator.
• Dynamics of Bayesian updating with dependent data and misspecified models
• Exponential bounds for the probability of wrong determination of the order of a Markov chain by using the EDC criterion

This page was built for publication: Large deviations and the Bayesian estimation of higher-order Markov transition functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4877400)