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 convergence; minimum description length; oracle inequalities; information criteria; penalized maximum likelihood; finite memory estimator; infinite memory; Markov approximation

Mathematics Subject Classification ID

60G10: Stationary stochastic processes

62M05: Markov processes: estimation; hidden Markov models

60F15: Strong limit theorems

62B10: Statistical aspects of information-theoretic topics

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