Approximate Group Context Tree : Applications to Dynamic Programming and Dynamic Choice Models

@inproceedings{Belloni2011ApproximateGC,
  title={Approximate Group Context Tree : Applications to Dynamic Programming and Dynamic Choice Models},
  author={Alexandre Belloni and Roberto Imbuzeiro Oliveira},
  year={2011}
}
The paper considers a variable length Markov chain model associated with a group of stationary processes that share the same context tree but potentially different conditional probabilities. We propose a new model selection and estimation method, develop oracle inequalities and model selection properties for the estimator. These results also provide conditions under which the use of the group structure can lead to improvements in the overall estimation. Our work is also motivated by two… CONTINUE READING
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