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

DOI10.1080/10485252.2020.1789125MaRDI QIDQ4987541zbMATH OpenOpenAlexFDO

Authors S. Valère Bitseki Penda, Angelina Roche

Publication date 3 May 2021

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.07034

zbMATH Keywords

adaptive estimationbifurcating autoregressive processesbinary treesGoldenshluger-Lepski methodologynonparametric kernel estimation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to biology and medical sciences; meta analysis (62P10) Population dynamics (general) (92D25)

Abstract: We propose an adaptive estimator for the stationary distribution of a bifurcating Markov Chain on $mathbb{R}^d$. 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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Cited in

(5)

• Statistical estimation in a randomly structured branching population
• Adaptive estimation for bifurcating Markov chains
• Moderate deviation principles for kernel estimator of invariant density in bifurcating Markov chains
• Central limit theorem for kernel estimator of invariant density in bifurcating Markov chains models
• Kernel estimation of the transition density in bifurcating Markov chains

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