Local bandwidth selection for kernel density estimation in a bifurcating Markov chain model

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Publication:4987541




Abstract: We propose an adaptive estimator for the stationary distribution of a bifurcating Markov Chain on mathbbRd. Bifurcating Markov chains (BMC for short) are a class of stochastic processes indexed by regular binary trees. A kernel estimator is proposed whose bandwidth is selected by a method inspired by the works of Goldenshluger and Lepski [18]. Drawing inspiration from dimension jump methods for model selection, we also provide an algorithm to select the best constant in the penalty.



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