On the minimal penalty for Markov order estimation

DOI10.1007/s00440-010-0290-yzbMath1235.62120arXiv0908.3666MaRDI QIDQ718903

Ramon van Handel

Publication date: 27 September 2011

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.3666

zbMATH Keywords

Markov chains; martingale inequalities; empirical process theory; large-scale typicality; uniform law of iterated logarithm

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

60G42: Martingales with discrete parameter

62M05: Markov processes: estimation; hidden Markov models

60F15: Strong limit theorems

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

Related Items

Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes, On universal algorithms for classifying and predicting stationary processes

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