Kernel estimation for stationary density of Markov chains with general state space |
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Authors: | Viviane S M Campos Chang C Y Dorea |
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Institution: | (1) Depto. de Matematica, Universidade Federal do Rio Grande do Norte, 59072-970 Natal-RN, Brazil;(2) Depto. de Matematica, Universidade de Brasilia, 70910-900 Brasilia-DF, Brazil |
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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.
Partially supported by CAPES.
Partially supported by CNPq, PROCAD/CAPES, PRONEX/FAPDF and FINATEC/UnB. |
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Keywords: | Kernel estimator general state space mixing condition geometric ergodicity |
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