Adaptive estimation of the transition density of a particular hidden Markov chain

DOI10.1016/J.JMVA.2007.04.006MaRDI QIDQ2482129zbMATH OpenOpenAlexFDO

Authors Claire Lacour

Publication date 16 April 2008

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0611681

zbMATH Keywords

deconvolutionhidden Markov chainmodel selectionnonparametric estimationrate of convergencetransition density

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05)

Abstract: We study the following model of hidden Markov chain: $Y_i=X_i+epsilo{n}_i$, $i=1,\mathrm{...},n+1$ with $(X_i)$ a real-valued positive recurrent and stationary Markov chain and $(epsilo{n}_i{)}_{1leqileqn+1}$ a noise independent of the sequence $(X_i)$ having a known distribution. We present an adaptive estimator of the transition density based on the quotient of a deconvolution estimator of the density of $X_i$ and an estimator of the density of $(X_i,X_{i+1})$. These estimators are obtained by contrast minimization and model selection. We evaluate the $L2$ risk and its rate of convergence for ordinary smooth and supersmooth noise with regard to ordinary smooth and supersmooth chains. Some examples are also detailed.

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Cited in

(19)

• Adaptive estimation of the transition density of a regular Markov chain
• Multivariate adaptive warped kernel estimation
• Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
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• scientific article; zbMATH DE number 4102954 (Why is no real title available?)
• Estimation of the transition density of a Markov chain
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• Optimal adaptive estimation of the relative density
• Adaptive estimation of the hazard rate with multiplicative censoring
• Adaptive warped kernel estimators
• Model selection for hazard rate estimation in presence of censoring

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