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February 2017 Approximate group context tree
Alexandre Belloni, Roberto I. Oliveira
Ann. Statist. 45(1): 355-385 (February 2017). DOI: 10.1214/16-AOS1455

Abstract

We study a variable length Markov chain model associated with a group of stationary processes that share the same context tree but each process has potentially different conditional probabilities. We propose a new model selection and estimation method which is computationally efficient. We develop oracle and adaptivity inequalities, as well as model selection properties, that hold under continuity of the transition probabilities and polynomial $\beta$-mixing. In particular, model misspecification is allowed.

These results are applied to interesting families of processes. For Markov processes, we obtain uniform rate of convergence for the estimation error of transition probabilities as well as perfect model selection results. For chains of infinite order with complete connections, we obtain explicit uniform rates of convergence on the estimation of conditional probabilities, which have an explicit dependence on the processes’ continuity rates. Similar guarantees are also derived for renewal processes.

Our results are shown to be applicable to discrete stochastic dynamic programming problems and to dynamic discrete choice models. We also apply our estimator to a linguistic study, based on recent work by Galves et al. [Ann. Appl. Stat. 6 (2012) 186–209], of the rhythmic differences between Brazilian and European Portuguese.

Citation

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Alexandre Belloni. Roberto I. Oliveira. "Approximate group context tree." Ann. Statist. 45 (1) 355 - 385, February 2017. https://doi.org/10.1214/16-AOS1455

Information

Received: 1 February 2015; Revised: 1 December 2015; Published: February 2017
First available in Project Euclid: 21 February 2017

zbMATH: 06710514
MathSciNet: MR3611495
Digital Object Identifier: 10.1214/16-AOS1455

Subjects:
Primary: 62G05 , 62M05 , 62M09
Secondary: 60J10 , 62P20

Keywords: categorical time series , dynamic discrete choice models , dynamic programming , group context tree , Model selection , VLMC

Rights: Copyright © 2017 Institute of Mathematical Statistics

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Vol.45 • No. 1 • February 2017
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