On the Approximation of finite Markov-exchangeable processes by mixtures of Markov Processes

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
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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