Learning the ergodic decomposition

Publication date 25 June 2014

Ergodicity, mixing, rates of mixing (37A25) Stationary stochastic processes (60G10) Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Rationality and learning in game theory (91A26)

Abstract: A Bayesian agent learns about the structure of a stationary process from ob- serving past outcomes. We prove that his predictions about the near future become ap- proximately those he would have made if he knew the long run empirical frequencies of the process.

This page was built for publication: Learning the ergodic decomposition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6252634)