Gossner, Olivier; Tomala, Tristan - Université Paris-Dauphine (Paris IX) - 2008
An observer of a process View the MathML source believes the process is governed by Q whereas the true law is P. We bound the expected average distance between P(xt|x1,…,xt−1) and Q(xt|x1,…,xt−1) for t=1,…,n by a function of the relative entropy between the marginals of P and Q on the...