On Risk Rates and Large Deviations in Finite Markov Chain Experiments
- The observation of an ergodic Markov chain asymptotically allows perfect identification of the transition matrix. In this paper we determine the rate of the information contained in the first n observations, provided the unknown transition matrix belongs to a known finite set. As an essential tool we prove new refinements of the large deviation theory of the empirical pair measure of finite Markov chains. Keywords: Markov Chain, Entropy, Bayes risk, Large Deviations.
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| Author: | Peter Scheffel, Heinrich von Weizsäcker |
|---|---|
| URN (permanent link): | urn:nbn:de:hbz:386-kluedo-7349 |
| Document Type: | Preprint |
| Language of publication: | English |
| Year of Completion: | 1997 |
| Year of Publication: | 1997 |
| Publishing Institute: | Technische Universität Kaiserslautern |
| Date of the Publication (Server): | 2000/04/03 |
| Source: | Math. Meth. Statistics 3, 1997, Seiten 293-312 |
| Faculties / Organisational entities: | Fachbereich Mathematik |
| DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
| Licence (German): |  Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |
