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On Rate of Convergence of Statistical Estimation of Stationary Ergodic Processes

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2 Author(s)
Imre Csiszar ; Alfréd Rényi Institute of Mathematics, Hungarian Academy of Sciences, Budapest ; Zsolt Talata

Stationary ergodic processes with finite alphabets are approximated by finite memory processes based on an n-length realization of the process. Under the assumptions of summable continuity rate and non-nullness, a rate of convergence in -distance is obtained, with explicit constants. Asymptotically, as n → ∞, the result is near the optimum.

Published in:

IEEE Transactions on Information Theory  (Volume:56 ,  Issue: 8 )