On the minimal penalty for Markov order estimation

DOI10.1007/S00440-010-0290-YMaRDI QIDQ718903zbMATH OpenOpenAlexFDO

Authors Ramon van Handel

Publication date 27 September 2011

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (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

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

Abstract: We show that large-scale typicality of Markov sample paths implies that the likelihood ratio statistic satisfies a law of iterated logarithm uniformly to the same scale. As a consequence, the penalized likelihood Markov order estimator is strongly consistent for penalties growing as slowly as log log n when an upper bound is imposed on the order which may grow as rapidly as log n. Our method of proof, using techniques from empirical process theory, does not rely on the explicit expression for the maximum likelihood estimator in the Markov case and could therefore be applicable in other settings.

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Cites work

• scientific article; zbMATH DE number 1420699 (Why is no real title available?)
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• The consistency of the BIC Markov order estimator.
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(5)

• Personalized online ensemble machine learning with applications for dynamic data streams
• On universal algorithms for classifying and predicting stationary processes
• Large-scale typicality of Markov sample paths and consistency of MDL order estimators
• Model-based clustering in simple hypergraphs through a stochastic blockmodel
• Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes

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