March 19, 2025
[2503.12808] Estimating stationary mass, frequency by frequency
[Submitted on 17 Mar 2025 (v1), last revised 18 Mar 2025 (this version, v2)] View a PDF of the paper titled Estimating stationary mass, frequency by frequency, by Milind Nakul and 2 other authors View PDF HTML (experimental) Abstract:Suppose we observe a trajectory of length $n$ from an $\alpha$-mixing stochastic process over a finite but potentially large state space. We consider the problem of estimating the probability mass placed by the stationary distribution of any such process on elements that occur with a certain frequency in the observed sequence. We estimate this vector of probabilities in total variation distance, showing