Estimation of the transition density of a Markov chain
From MaRDI portal
Publication:405506
DOI10.1214/13-AIHP551zbMATH Open1298.62144arXiv1210.5165OpenAlexW2031969209MaRDI QIDQ405506FDOQ405506
Authors: Mathieu Sart 
Publication date: 5 September 2014
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: We present two data-driven procedures to estimate the transition density of an homogeneous Markov chain. The first yields to a piecewise constant estimator on a suitable random partition. By using an Hellinger-type loss, we establish non-asymptotic risk bounds for our estimator when the square root of the transition density belongs to possibly inhomogeneous Besov spaces with possibly small regularity index. Some simulations are also provided. The second procedure is of theoretical interest and leads to a general model selection theorem from which we derive rates of convergence over a very wide range of possibly inhomogeneous and anisotropic Besov spaces. We also investigate the rates that can be achieved under structural assumptions on the transition density.
Full work available at URL: https://arxiv.org/abs/1210.5165
Recommendations
- Adaptive estimation of the transition density of a Markov chain
- Adaptive estimation of the transition density of a regular Markov chain
- Nonparametric estimation of the stationary density and the transition density of a Markov chain
- Least squares type estimation of the transition density of a particular hidden Markov chain
- Adaptive estimation of the transition density of a particular hidden Markov chain
Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
Cites Work
- Mixing: Properties and examples
- Nonparametric estimation of composite functions
- Convergence of estimates under dimensionality restrictions
- Basic properties of strong mixing conditions. A survey and some open questions
- Model selection via testing: an alternative to (penalized) maximum likelihood estimators.
- Estimator selection with respect to Hellinger-type risks
- Estimating the intensity of a random measure by histogram type estimators
- Degree of Adaptive Approximation
- Approximation dans les espaces m�triques et th�orie de l'estimation
- Model selection for Poisson processes
- Wavelet characterizations for anisotropic Besov spaces
- Title not available (Why is that?)
- Model selection for density estimation with \(\mathbb L_2\)-loss
- Adaptive estimation of the transition density of a regular Markov chain
- Inhomogeneous and anisotropic conditional density estimation from dependent data
- On Aubry sets and Mather's action functional
- Adaptation to anisotropy and inhomogeneity via dyadic piecewise polynomial selection
- Nonparametric estimation in Markov processes
- Adaptive estimation of the transition density of a Markov chain
- Estimation de la transition de probabilité d'une chaîne de Markov Doeblin-recurrente. Étude du cas du processus autoregressif général d'ordre 1
- Inequalities for absolutely regular sequences: application to density estimation
- Strong consistency of kernel estimators for Markov transition densities
- Adaptive estimation of mean and volatility functions in (auto-)regressive models.
- Estimating composite functions by model selection
- Nonparametric estimation of the stationary density and the transition density of a Markov chain
- Kernel estimation for real-valued Markov chains
- Multidimensional Spline Approximation
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Learning Theory
- Stabilité et instabilité du risque minimax pour des variables indépendantes équidistribuées
Cited In (22)
- Adaptive estimation of the transition density of a particular hidden Markov chain
- Least squares type estimation of the transition density of a particular hidden Markov chain
- Title not available (Why is that?)
- A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria
- Robust estimation on a parametric model via testing
- Estimating the conditional density by histogram type estimators and model selection
- A new method for estimation and model selection: \(\rho\)-estimation
- Density estimation for Markov chains
- Adaptive pointwise estimation of conditional density function
- Adaptive estimation of the transition density of a Markov chain
- Kernel estimation of the transition density in bifurcating Markov chains
- Estimating a density, a hazard rate, and a transition intensity via the \(\rho\)-estimation method
- Minimax bounds for Besov classes in density estimation
- Unbiased estimation of the matrix of transition probabilities of a homogeneous Markov chain by a sufficient estimator
- Nonparametric estimation of the stationary density and the transition density of a Markov chain
- Adaptive estimation of the transition density of a regular Markov chain
- Inhomogeneous and anisotropic conditional density estimation from dependent data
- A square root approximation of transition rates for a Markov state model
- Density estimation under local differential privacy and Hellinger loss
- Spectral thresholding for the estimation of Markov chain transition operators
- ECF estimation of Markov models where the transition density is unknown
- Learning from MOM's principles: Le Cam's approach
This page was built for publication: Estimation of the transition density of a Markov chain
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q405506)
