Rate of convergence of the spline estimates for Markov chains

DOI10.1016/0167-7152(89)90129-6MaRDI QIDQ581981zbMATH OpenOpenAlexFDO

Authors Prabir Burman

Publication date 1989

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(89)90129-6

zbMATH Keywords

B-splineoptimal rate of convergencepredictionspline estimatestationary Markov chain

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20)

Review text

A spline estimate for the prediction function in a stationary Markov chain is suggested. The rate of convergence of this estimate is studied. It is shown that appropriate choice of the degree of the spline and the number of knots implies the same optimal rate of convergence as in the i.i.d. case.

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Cites work

• A data dependent approach to density estimation
• A practical guide to splines
• Additive regression and other nonparametric models
• scientific article; zbMATH DE number 3862231 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Interpolating spline methods for density estimation. I: Equi-spaced knots
• Nonparameteric estimation in mixing sequences of random variables
• Nonparametric Density Estimation, Prediction, and Regression for Markov Sequences
• Nonparametric Estimation of the Transition Distribution Function of a Markov Process
• Optimal global rates of convergence for nonparametric regression
• Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations

Cited in

(1)

• DATA-DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS

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