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Hee Sun Kim

University of Kansas



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Zsolt Talata

University of Kansas



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582 – Statistical Methods for Functional Data

Estimation of the Likelihood for Context Set Models

Sponsor: Section on Nonparametric Statistics
Keywords: context set, context tree, Markov chain, time series, statistical estimation, double mixture

Hee Sun Kim

University of Kansas

Zsolt Talata

University of Kansas

Finitely-valued stationary time series are described by the collection of the conditional probabilities of the possible values given the infinite pasts. The concept of context is extended to be an arbitrary part - not necessarily a continuous ending - of the past that determines the transition probability. The context set model of the time series consists of the collection of all contexts and the corresponding transition probabilities. The likelihood is estimated from a sample using a double mixture over the possible models and their parameters. An optimality of the estimator is proved and an algorithm is shown to calculate the estimator in reasonable time despite the very large number of possible models.

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