Variable length Markov chains

DOI10.1214/aos/1018031204zbMath0983.62048OpenAlexW2011485152WikidataQ98839750 ScholiaQ98839750MaRDI QIDQ1970475

Publication date: 25 April 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1018031204

zbMATH Keywords

bootstrap consistency model selection data compression central limit theorem Kullback-Leibler distance categorical time series context algorithm FSMX model tree model finite-memory sources

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Nonparametric statistical resampling methods (62G09) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Information theory (general) (94A15) Statistical aspects of information-theoretic topics (62B10)

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Fahrmeir

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