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- W1967939658 abstract "In this paper, we study first the problem of nonparametric estimation of the stationary density f of a discrete-time Markov chain (Xi). We consider a collection of projection estimators on finite dimensional linear spaces. We select an estimator among the collection by minimizing a penalized contrast. The same technique enables us to estimate the density g of (Xi,Xi+1) and so to provide an adaptive estimator of the transition density π=g/f. We give bounds in L2 norm for these estimators and we show that they are adaptive in the minimax sense over a large class of Besov spaces. Some examples and simulations are also provided." @default.
- W1967939658 created "2016-06-24" @default.
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- W1967939658 date "2008-02-01" @default.
- W1967939658 modified "2023-10-09" @default.
- W1967939658 title "Nonparametric estimation of the stationary density and the transition density of a Markov chain" @default.
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- W1967939658 doi "https://doi.org/10.1016/j.spa.2007.04.013" @default.
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