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Nonparametric estimation in Markov processes

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  • George Roussas

Abstract

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Suggested Citation

  • George Roussas, 1969. "Nonparametric estimation in Markov processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 73-87, December.
    • Handle: RePEc:spr:aistmt:v:21:y:1969:i:1:p:73-87
    DOI: 10.1007/BF02532233
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    Citations

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    Cited by:

    1. Bitseki Penda, S. Valère, 2023. "Moderate deviation principles for kernel estimator of invariant density in bifurcating Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 158(C), pages 282-314.
    2. Lacour, Claire, 2008. "Nonparametric estimation of the stationary density and the transition density of a Markov chain," Stochastic Processes and their Applications, Elsevier, vol. 118(2), pages 232-260, February.
    3. Cai, Zongwu, 2001. "Weighted Nadaraya-Watson regression estimation," Statistics & Probability Letters, Elsevier, vol. 51(3), pages 307-318, February.
    4. Mahmoud A. El-Gamal & Deockhyun Ryu, 2013. "Nonstationarity and Stochastic Stability of Relative Income Clubs," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 59(4), pages 756-775, December.
    5. Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.
    6. Cai, Zongwu, 2003. "Nonparametric estimation equations for time series data," Statistics & Probability Letters, Elsevier, vol. 62(4), pages 379-390, May.
    7. Deockhyun Ryu & Mahmoud A. El-Gamal, 2004. "Short Memory and the PPP-puzzle," Econometric Society 2004 Far Eastern Meetings 577, Econometric Society.
    8. Domowitz, Ian & El-Gamal, Mahmoud A., 2001. "A consistent nonparametric test of ergodicity for time series with applications," Journal of Econometrics, Elsevier, vol. 102(2), pages 365-398, June.
    9. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
    10. El-Gamal, Mahmoud A. & Ryu, Deockhyun, 2006. "Short-memory and the PPP hypothesis," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 361-391, March.
    11. Deockhyun Ryu & Mahmoud A. El-Gamal, 2004. "Convergence Hypotheses are Ill-Posed:Non-stationarity of Cross-Country Income Distribution D," Econometric Society 2004 Far Eastern Meetings 576, Econometric Society.
    12. Liebscher, Eckhard, 1999. "Asymptotic normality of nonparametric estimators under [alpha]-mixing condition," Statistics & Probability Letters, Elsevier, vol. 43(3), pages 243-250, July.
    13. Liebscher, Eckhard, 1996. "Strong convergence of sums of [alpha]-mixing random variables with applications to density estimation," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 69-80, December.
    14. Kim, Tae Yoon & Cox, Dennis D., 1996. "Uniform strong consistency of kernel density estimators under dependence," Statistics & Probability Letters, Elsevier, vol. 26(2), pages 179-185, February.
    15. Patrice Bertail & Stéphan Clémençon, 2005. "Regeneration-based Statistics for Harris Recurrent Markov Chains," Working Papers 2005-13, Center for Research in Economics and Statistics.
    16. Isha Bagai & B. Prakasa Rao, 1995. "Kernel-type density and failure rate estimation for associated sequences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(2), pages 253-266, June.
    17. Patrice Bertail & Stéphan Clémençon, 2004. "Regenerative Block-bootstrap for Markov Chains," Working Papers 2004-47, Center for Research in Economics and Statistics.
    18. Domowitz, I. El-Gamal, M., 1997. "Financial Market Structure and the Ergocicity of Prices," Working papers 9719, Wisconsin Madison - Social Systems.
    19. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
    20. Chang, Christopher C. & Politis, Dimitris N., 2011. "Bootstrap with larger resample size for root-n consistent density estimation with time series data," Statistics & Probability Letters, Elsevier, vol. 81(6), pages 652-661, June.
    21. Hwai-Chung, Ho, 1996. "On central and non-central limit theorems in density estimation for sequences of long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 63(2), pages 153-174, November.
    22. S. Valère Bitseki Penda & Jean-François Delmas, 2023. "Central Limit Theorem for Kernel Estimator of Invariant Density in Bifurcating Markov Chains Models," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1591-1625, September.

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