论文标题

可变长度内存链:固定概率度量的表征

Variable Length Memory Chains: characterization of stationary probability measures

论文作者

Cénac, Peggy, Chauvin, Brigitte, Noûs, Camille, Paccaut, Frédéric, Pouyanne, Nicolas

论文摘要

可变长度内存链(VLMC)是有限顺序马尔可夫链的概括,结果是模拟许多域中随机序列的必不可少的工具,也是当代概率理论中有趣的对象。存在固定概率措施的问题使我们引入了由VLMC产生的单词的关键组合结构:最长的内部后缀。这个概念使我们能够说明一般VLMC承认独特不变概率度量的必要条件。事实证明,这种情况可以为VLMC的子类别提供更简单的形式:稳定的VLMC。与一般案例不同,这个天然的子类享有更新的财产。也就是说,稳定的VLMC在最可数的状态空间上诱导了半马尔可夫链。不幸的是,这种离散的时间更新过程不包含VLMC的全部信息,从而阻止对稳定的VLMC的研究减少到对其诱导的半马尔可夫链的研究。对于稳定的VLMC的子类,建立了VLMC分布的固定概率度量的收敛性。最后,有限的状态空间半马尔科夫连锁链结果是非常特殊的稳定VLMC,为其极限分布提供了一些新的启示。

Variable Length Memory Chains (VLMC), which are generalizations of finite order Markov chains, turn out to be an essential tool to modelize random sequences in many domains, as well as an interesting object in contemporary probability theory. The question of the existence of stationary probability measures leads us to introduce a key combinatorial structure for words produced by a VLMC: the Longest Internal Suffix. This notion allows us to state a necessary and sufficient condition for a general VLMC to admit a unique invariant probability measure. This condition turns out to get a much simpler form for a subclass of VLMC: the stable VLMC. This natural subclass, unlike the general case, enjoys a renewal property. Namely, a stable VLMC induces a semi-Markov chain on an at most countable state space. Unfortunately, this discrete time renewal process does not contain the whole information of the VLMC, preventing the study of a stable VLMC to be reduced to the study of its induced semi-Markov chain. For a subclass of stable VLMC, the convergence in distribution of a VLMC towards its stationary probability measure is established. Finally, finite state space semi-Markov chains turn out to be very special stable VLMC, shedding some new light on their limit distributions.

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