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arXiv · 1406.6670

Learning the ergodic decomposition

Nabil Al-Najjar·Eran Shmaya
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Abstract

A Bayesian agent learns about the structure of a stationary process from ob- serving past outcomes. We prove that his predictions about the near future become ap- proximately those he would have made if he knew the long run empirical frequencies of the process.

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Nabil Al-Najjar, Eran Shmaya. 2014-06-25. Learning the ergodic decomposition. https://arxiv.org/abs/1406.6670

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