Estimation of the transition density of a Markov chain

DOI10.1214/13-AIHP551zbMath1298.62144arXiv1210.5165OpenAlexW2031969209MaRDI QIDQ405506

Mathieu Sart

Publication date: 5 September 2014

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5165

zbMATH Keywords

model selectionMarkov chaintransition densityadaptive estimationrobust tests

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria ⋮ Robust estimation on a parametric model via testing ⋮ Adaptive pointwise estimation of conditional density function ⋮ Estimating the conditional density by histogram type estimators and model selection ⋮ Density estimation under local differential privacy and Hellinger loss ⋮ A new method for estimation and model selection: \(\rho\)-estimation ⋮ Learning from MOM's principles: Le Cam's approach ⋮ Estimating a density, a hazard rate, and a transition intensity via the \(\rho\)-estimation method ⋮ Minimax bounds for Besov classes in density estimation ⋮ Spectral thresholding for the estimation of Markov chain transition operators

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