Article ID: | iaor20072012 |
Country: | United States |
Volume: | 29 |
Issue: | 2 |
Start Page Number: | 259 |
End Page Number: | 265 |
Publication Date: | May 2004 |
Journal: | Mathematics of Operations Research |
Authors: | Lehrer Ehud |
We introduce a two-player game where at each period one player, say, Player 2, chooses a distribution and the other player, Player 1, chooses a realization. Player 1 wins the game if the sequence of realized outcomes is normal with respect to the sequence of distributions. We present a pure winning strategy of Player 1 and thereby provide a universal algorithm that generates a normal sequence for any discrete stochastic process. It turns out that to select the