Pötzelberger, Klaus (1991) On the Approximation of finite Markov-exchangeable processes by mixtures of Markov Processes. Forschungsberichte / Institut für Statistik, 10. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.
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Abstract
We give an upper bound for the norm distance of (0,1) -valued Markov-exchangeable random variables to mixtures of distributions of Markov processes. A Markov-exchangeable random variable has a distribution that depends only on the starting value and the number of transitions 0-0, 0-1, 1-0 and 1-1. We show that if, for increasing length of variables, the norm distance to mixtures of Markov processes goes to 0, the rate of this convergence may be arbitrarily slow. (author's abstract)
Item Type: | Paper |
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Keywords: | finite Markov exchangeability / approximation by mixtures of Markov processes / rate of convergence |
Classification Codes: | MSC 60E05, 60F99, 60J99 |
Divisions: | Departments > Finance, Accounting and Statistics > Statistics and Mathematics |
Depositing User: | Repository Administrator |
Date Deposited: | 11 Jul 2006 08:16 |
Last Modified: | 22 Oct 2019 00:41 |
URI: | https://epub.wu.ac.at/id/eprint/526 |
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