Nonparametric Estimation of Markov Transition Functions
نویسندگان
چکیده
منابع مشابه
Nonparametric estimation of the stationary density and the transition density of a Markov chain
In this paper, we study first the problem of nonparametric estimation of the stationary density f of a discrete-time Markov chain (Xi). We consider a collection of projection estimators on finite dimensional linear spaces. We select an estimator among the collection by minimizing a penalized contrast. The same technique enables to estimate the density g of (Xi,Xi+1) and so to provide an adaptiv...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1979
ISSN: 0090-5364
DOI: 10.1214/aos/1176344687