Recursive estimation of the transition distribution function of a Markov process: Asymptotic normality

DOI10.1016/0167-7152(91)90193-UzbMath0735.62082MaRDI QIDQ1176989

George G. Roussas

Publication date: 25 June 1992

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitygeometrically ergodicstrictly stationary Markov processDoeblin's hypothesisone-step transition distributionrecursive kernel-based nonparametric estimatorrho mixing

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (6)

Mean squared error properties of the kernel-based multi-stage median predictor for time series ⋮ Prediction in invertible linear processes ⋮ Efficient prediction for linear and nonlinear autoregressive models ⋮ Prediction in moving average processes ⋮ Regeneration-based statistics for Harris recurrent Markov chains ⋮ Functional density estimation of the transition operator of a discrete-time Markov process.

Cites Work

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• Nonparametric estimation of conditional probability densities and expectations of stationary processes: Strong consistency and rates
• Asymptotic normality of the recursive kernel regression estimate under dependence conditions
• Joint asymptotic normality of kernel estimates under dependence conditions, with application to hazard rate

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