Bounds in total variation distance for discrete-time processes on the sequence space

Let ℙ and ℙ~ be the laws of two discrete-time stochastic processes defined on the sequence space Sℕ, where S is a finite set of points. In this paper we derive a bound on the total variation distance d TV(ℙ, ℙ~) in terms of the cylindrical projections of ℙ and ℙ~. We apply the result to Markov chain...

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Main Authors: Flint, Ian, Privault, Nicolas, Torrisi, Giovanni Luca
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2020
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Online Access:https://hdl.handle.net/10356/137236
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-1372362023-02-28T19:25:49Z Bounds in total variation distance for discrete-time processes on the sequence space Flint, Ian Privault, Nicolas Torrisi, Giovanni Luca School of Physical and Mathematical Sciences Science::Mathematics Total Variation Distance Markov Chains Let ℙ and ℙ~ be the laws of two discrete-time stochastic processes defined on the sequence space Sℕ, where S is a finite set of points. In this paper we derive a bound on the total variation distance d TV(ℙ, ℙ~) in terms of the cylindrical projections of ℙ and ℙ~. We apply the result to Markov chains with finite state space and random walks on ℤ with not necessarily independent increments, and we consider several examples. Our approach relies on the general framework of stochastic analysis for discrete-time obtuse random walks and the proof of our main result makes use of the predictable representation of multidimensional normal martingales. Along the way, we obtain a sufficient condition for the absolute continuity of ℙ~ with respect to ℙ which is of interest in its own right. MOE (Min. of Education, S’pore) Accepted version 2020-03-10T05:23:55Z 2020-03-10T05:23:55Z 2018 Journal Article Flint, I., Privault, N., & Torrisi, G.L. (2018). Bounds in total variation distance for discrete-time processes on the sequence space. Potential Analysis, 52, 223–243. doi:10.1007/s11118-018-9744-0 0926-2601 https://hdl.handle.net/10356/137236 10.1007/s11118-018-9744-0 2-s2.0-85057121417 2 52 223 243 en Potential Analysis This is a post-peer-review, pre-copyedit version of an article published in Potential Analysis. The final authenticated version is available online at: http://dx.doi.org/10.1007/s11118-018-9744-0 application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic Science::Mathematics
Total Variation Distance
Markov Chains
spellingShingle Science::Mathematics
Total Variation Distance
Markov Chains
Flint, Ian
Privault, Nicolas
Torrisi, Giovanni Luca
Bounds in total variation distance for discrete-time processes on the sequence space
description Let ℙ and ℙ~ be the laws of two discrete-time stochastic processes defined on the sequence space Sℕ, where S is a finite set of points. In this paper we derive a bound on the total variation distance d TV(ℙ, ℙ~) in terms of the cylindrical projections of ℙ and ℙ~. We apply the result to Markov chains with finite state space and random walks on ℤ with not necessarily independent increments, and we consider several examples. Our approach relies on the general framework of stochastic analysis for discrete-time obtuse random walks and the proof of our main result makes use of the predictable representation of multidimensional normal martingales. Along the way, we obtain a sufficient condition for the absolute continuity of ℙ~ with respect to ℙ which is of interest in its own right.
author2 School of Physical and Mathematical Sciences
author_facet School of Physical and Mathematical Sciences
Flint, Ian
Privault, Nicolas
Torrisi, Giovanni Luca
format Article
author Flint, Ian
Privault, Nicolas
Torrisi, Giovanni Luca
author_sort Flint, Ian
title Bounds in total variation distance for discrete-time processes on the sequence space
title_short Bounds in total variation distance for discrete-time processes on the sequence space
title_full Bounds in total variation distance for discrete-time processes on the sequence space
title_fullStr Bounds in total variation distance for discrete-time processes on the sequence space
title_full_unstemmed Bounds in total variation distance for discrete-time processes on the sequence space
title_sort bounds in total variation distance for discrete-time processes on the sequence space
publishDate 2020
url https://hdl.handle.net/10356/137236
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