Nonparametric regression on hidden -mixing variables: identifiability and consistency of a pseudo-likelihood based estimation procedure

DOI10.3150/15-BEJ767zbMATH Open1380.62168arXiv1209.0633OpenAlexW2963895316MaRDI QIDQ520685FDOQ520685

Thierry Dumont, Sylvain Le Corff

Publication date: 5 April 2017

Published in: Bernoulli (Search for Journal in Brave)

Abstract: This paper outlines a new nonparametric estimation procedure for unobserved phi-mixing processes. It is assumed that the only information on the stationary hidden states (Xk) is given by the process (Yk), where Yk is a noisy observation of f(Xk). The paper introduces a maximum pseudo-likelihood procedure to estimate the function f and the distribution of the hidden states using blocks of observations of length b. The identifiability of the model is studied in the particular cases b=1 and b=2. The consistency of the estimators of f and of the distribution of the hidden states as the number of observations grows to infinity is established.

Full work available at URL: https://arxiv.org/abs/1209.0633

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zbMATH Keywords

maximum likelihoodnonparametric estimationstate space modelidentifiability

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Stationary stochastic processes (60G10)

Cited In (3)

• Posterior consistency for nonparametric hidden Markov models with finite state space
• Inference in finite state space non parametric hidden Markov models and applications
• Title not available (Why is that?)

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