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Kernel estimation for stationary density of Markov chains with general state space

  • Density Estimation
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Abstract

Let {X n } n ≥0 be a Markov chain with stationary distributionf(x)ν(dx), ν being a σ-finite measure onE⊂R d. Under strict stationarity and mixing conditions we obtain the consistency and asymptotic normality for a general class of kernel estimates off(·). When the assumption of stationarity is dropped these results are extended to geometrically ergodic chains.

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Author information

Authors and Affiliations

  1. Depto. de Matematica, Universidade Federal do Rio Grande do Norte, 59072-970, Natal-RN, Brazil

    Viviane S. M. Campos

  2. Depto. de Matematica, Universidade de Brasilia, 70910-900, Brasilia-DF, Brazil

    Chang C. Y. Dorea

Authors
  1. Viviane S. M. Campos
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  2. Chang C. Y. Dorea
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Additional information

Partially supported by CAPES.

Partially supported by CNPq, PROCAD/CAPES, PRONEX/FAPDF and FINATEC/UnB.

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Campos, V.S.M., Dorea, C.C.Y. Kernel estimation for stationary density of Markov chains with general state space. Ann Inst Stat Math 57, 443–453 (2005). https://doi.org/10.1007/BF02509234

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  • DOI: https://doi.org/10.1007/BF02509234

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