On the minimal penalty for Markov order estimation
نویسندگان
چکیده
منابع مشابه
On the minimal penalty for Markov order estimation
We show that large-scale typicality of Markov sample paths implies that the likelihood ratio statistic satisfies a law of iterated logarithm uniformly to the same scale. As a consequence, the penalized likelihood Markov order estimator is strongly consistent for penalties growing as slowly as log log n when an upper bound is imposed on the order which may grow as rapidly as log n. Our method of...
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ژورنال
عنوان ژورنال: Probability Theory and Related Fields
سال: 2010
ISSN: 0178-8051,1432-2064
DOI: 10.1007/s00440-010-0290-y