Year: 2020
Type: article
Abstract: This article studies the expected occupancy probabilities on an alphabet. Unlike the standard situation, where observations are assumed to be independent and identically distributed, we assume that they follow a regime-switching Markov chain. For this model, we (1) give finite sample bounds on the expected occupancy probabilities, and (2) provide detailed asymptotics in the case where the underlying distribution is regularly varying. We find that in the regularly varying case the finite sample bounds are rate optimal and have, up to a constant, the same rate of decay as the asymptotic result.
Source: Journal of Applied Probability
DOI: 10.1017/jpr.2020.33
Authors: Michael Grabchak, Mark Kelbert, Quentin Paris
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2906640614