scientific article; zbMATH DE number 17219
[For the entire collection see Zbl 0722.00032.] Based on the observation of the first \(n\) random variables \(X_ 1,\ldots,X_ n\) from a strictly stationary, discrete-time Markov process \(X\) the author investigates the asymptotic properties of a natural nonparametric estimate of the one-step transition probability distribution function as \(n\) tends to infinity. (The estimate is obtained by integrating the ratio of kernel estimates for the stationary two- and one-dimensional distributions.) Under appropriate conditions it is shown that this estimate is uniformly (in the main argument) strongly consistent and asymptotically normal; further, a natural estimate for the p-th quantile \((p\in(0,1))\) is shown to be strongly consistent. Besides certain regularity assumptions a key assumption is that \(X\) has only one ergodic set, which has no cyclically moving subsets, and fulfils a \(\rho\)-mixing condition where \(\rho\) decreases of polynomal order. [Editorial remark: See also the author's article reviewed below.].
- Recursive estimation of the transition distribution function of a Markov process: Asymptotic normality
- Asymptotic normality of the kernel estimate for the Markovian transition operator
- Nonparametric recursive estimation in stationary markov processes
- Nonparameteric estimation in mixing sequences of random variables
- scientific article; zbMATH DE number 4211323
- Recursive estimation of the transition distribution function of a Markov process: Asymptotic normality
- Nonparametric prediction by conditional median and quantiles
- Fixed design regression quantiles for time series
- Asymptotic normality of a smooth estimate of a random field distribution function under association
- Asymptotic properties of empirical estimates for parameters of Markov sequences
- Transition and limiting distributions when covariates are available
- Kernel estimation for stationary density of Markov chains with general state space
- Asymptotic normality of the kernel estimate for the Markovian transition operator
- Regeneration-based statistics for Harris recurrent Markov chains
- Estimation of the transition density of a Markov chain
- scientific article; zbMATH DE number 7387619 (Why is no real title available?)
- Central limit theorem for kernel estimator of invariant density in bifurcating Markov chains models
- Some asymptotic results of a non-parametric conditional mode estimator for functional time-series data
- Efficient prediction for linear and nonlinear autoregressive models
- Strong consistency of kernel density estimates for Markov chains failure rates
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