Local stationarity and time-inhomogeneous Markov chains

DOI10.1214/18-AOS1739zbMath1429.62372arXiv1610.01290WikidataQ127815331 ScholiaQ127815331MaRDI QIDQ2313278

Lionel Truquet

Publication date: 18 July 2019

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.01290

zbMATH Keywords

Markov chainsMarkov kernellocal stationaritydriftWasserstein metricstotal variation distancesmall set condition

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items

Nonparametric regression for locally stationary random fields under stochastic sampling design ⋮ Nonparametric regression for locally stationary functional time series ⋮ On the local limit theorems for psi-mixing Markov chains ⋮ Functional Estimation and Change Detection for Nonstationary Time Series ⋮ Inverse covariance operators of multivariate nonstationary time series ⋮ A perturbation analysis of Markov chains models with time-varying parameters ⋮ Towards a general theory for nonlinear locally stationary processes ⋮ On Eagleson's theorem in the non‐stationary setup ⋮ Time-varying auto-regressive models for count time-series ⋮ Absolute regularity of semi-contractive GARCH-type processes ⋮ Local stationarity and time-inhomogeneous Markov chains ⋮ Multivariate time series models for mixed data

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