Nonparametric recursive estimation in stationary markov processes |
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Authors: | Eiichi Isogai |
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Affiliation: | Department of Mathematics , Niigata University , Niigata, Japan |
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Abstract: | This paper deals with a class of recursive kernel estimators of the transition probability density function t(y|x) of a stationary Markov process. A sufficient condition for such estimators to be weakly and strongly 2 consistent for almost all (x,y)∈R2 is given. Further an L, convergence result is obtained. No continuity conditions are imposed on t(y|x). |
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Keywords: | Nonparametric estimation recursive kernel estimators stationary Markov processes weak and strong consistency L1 convergence |
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