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

DOI10.1080/10485252.2020.1789125zbMATH Open1465.62061arXiv1706.07034OpenAlexW3042692081MaRDI QIDQ4987541FDOQ4987541

Authors: S. Valère Bitseki Penda, Angelina Roche 

Publication date: 3 May 2021

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

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.

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

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zbMATH Keywords

binary treesadaptive estimationbifurcating autoregressive processesnonparametric kernel estimationGoldenshluger-Lepski methodology

Mathematics Subject Classification ID

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

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Cited In (5)

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

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