L^1-convergence of smoothing densities in non-parametric state space models

DOI10.1007/S11203-007-9020-1MaRDI QIDQ623496zbMATH OpenOpenAlexFDO

Authors Valérie Monbet, Pierre Ailliot, Pierre-François Marteau

Publication date 5 February 2011

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-007-9020-1

zbMATH Keywords

smoothingstabilityfilteringwind-wave models

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and prediction (62M20) Applications of statistics to environmental and related topics (62P12)

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Cites work

• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• Analysis of an identification algorithm arising in the adaptive estimation of Markov chains
• Asymptotics of the maximum likelihood estimator for general hidden Markov models
• Estimation of the density and the regression function under mixing conditions.
• Exponential forgetting and geometric ergodicity in hidden Markov models
• Exponential stability for nonlinear filtering
• Markov chains and stochastic stability
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Monte Carlo Smoothing for Nonlinear Time Series
• On the stability of interacting processes with applications to filtering and genetic algorithms
• Stability of nonlinear filters in nonmixing case
• State space and hidden Markov models
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains

Cited in

(1)

• Correction to “On Gaussian Optimal Smoothing of Nonlinear State Space Models” [Aug 10 1938-1941]

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