An asymptotic formula for the Bayes risk in discriminating between two Markov chains
A. V. Nagaev · Journal of Applied Probability · 2001
The problem of discriminating between two Markov chains is considered. It is assumed that the common state space of the chains is finite and all the finite dimensional distributions are mutually absolutely continuous. The Bayes risk is expressed through large deviation probabilities for sums of random variables defined on an auxiliary Markov chain. The proofs are based on a large deviation theorem recently established by Z. Szewczak.