Henri Péchoux

Mean squared error reduction of (plug-in) look-ahead estimators for Markov chains

We consider the estimation of the invariant distribution $\pi$ of a Markov kernel on a discrete state space (or of the mean value $\pi(f)$ of a functional $f$ under $\pi$) when solving the invariance equation is not feasible. Look-ahead estimators exploit the knowledge of the kernel by propagating the empirical occupat...