Some upper bounds for the rate of convergence of penalized likelihood context tree estimators

DOI10.1214/09-BJPS033zbMATH Open1192.62193MaRDI QIDQ985992FDOQ985992

Authors Florencia Leonardi 

Publication date 9 August 2010

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0701810

zbMATH Keywords

rate of convergenceBayesian information criterionpenalized maximum likelihood estimationcontext tree

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes (62M99) Non-Markovian processes: estimation (62M09)

Abstract: We find upper bounds for the probability of underestimation and overestimation errors in penalized likelihood context tree estimation. The bounds are explicit and applies to processes of not necessarily finite memory. We allow for general penalizing terms and we give conditions over the maximal depth of the estimated trees in order to get strongly consistent estimates. This generalizes previous results obtained in the case of estimation of the order of a Markov chain.

Recommendations

• Context tree selection: a unifying view
• Exponential inequalities for empirical unbounded context trees
• Context tree estimation for not necessarily finite memory processes, via BIC and MDL
• Exponential inequalities for VLMC empirical trees
• Consistency of the Unlimited BIC Context Tree Estimator

Cites Work

• A universal data compression system
• Consistency of the Unlimited BIC Context Tree Estimator
• Context tree estimation for not necessarily finite memory processes, via BIC and MDL
• Estimation of General Stationary Processes by Variable Length Markov Chains
• Exponential bounds for the probability of wrong determination of the order of a Markov chain by using the EDC criterion
• Exponential inequalities for VLMC empirical trees
• Exponential inequalities for empirical unbounded context trees
• Markov approximation and consistent estimation of unbounded probabilistic suffix trees
• Processes with long memory: Regenerative construction and perfect simulation
• The context-tree weighting method: basic properties
• The context-tree weighting method: extensions
• The optimal error exponent for Markov order estimation
• Variable length Markov chains

Cited In (7)

• Exponential inequalities for VLMC empirical trees
• Context tree selection: a unifying view
• Exponential inequalities for empirical unbounded context trees
• Context tree estimation for not necessarily finite memory processes, via BIC and MDL
• Nonparametric statistical inference for the context tree of a stationary ergodic process
• Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes
• Consistency of the Unlimited BIC Context Tree Estimator

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