Learning the ergodic decomposition
classification
🧮 math.ST
math.PRstat.MLstat.TH
keywords
processagentbayesianbecomedecompositionempiricalergodicfrequencies
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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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