Relative Entropy Densities and a Class of Limit Theorems of the Sequence of $m$-Valued Random Variables
Wen, Liu
Ann. Probab., Tome 18 (1990) no. 4, p. 829-839 / Harvested from Project Euclid
Let $\{X_n, n \geq 1\}$ be a sequence of random variables taking values in $S = \{1,2, \ldots, m\}$ with distribution $p(x_1, \ldots, x_n), (p_{i1}, p_{i2}, \ldots, p_{im}), i = 1,2, \ldots$, a sequence of probability distributions on $S$, and $\varphi_n = (1/n)\log p(X_1, \ldots, X_n) - (1/n)\sum^n_{i = 1}\log p_{iX_i}$ the entropy density deviation, relative to the distribution $\prod^n_{i = 1}p_{ix_i}, \text{of} \{X_i, 1 \leq i \leq n\}$. In this paper the relation between the limit property of $\varphi_n$ and the frequency of given values in $\{X_n\}$ is studied.
Publié le : 1990-04-14
Classification:  Limit theorem,  entropy,  relative entropy density,  almost stationary sequences,  60F15,  94A17
@article{1176990860,
     author = {Wen, Liu},
     title = {Relative Entropy Densities and a Class of Limit Theorems of the Sequence of $m$-Valued Random Variables},
     journal = {Ann. Probab.},
     volume = {18},
     number = {4},
     year = {1990},
     pages = { 829-839},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176990860}
}
Wen, Liu. Relative Entropy Densities and a Class of Limit Theorems of the Sequence of $m$-Valued Random Variables. Ann. Probab., Tome 18 (1990) no. 4, pp.  829-839. http://gdmltest.u-ga.fr/item/1176990860/