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Estimation de la transition de probabilité d’une chaîne de Markov Doeblin-recurrente. Étude du cas du processus autoregressif général d’ordre 1. (French) Zbl 0515.62037


MSC:

62G05 Nonparametric estimation
62M05 Markov processes: estimation; hidden Markov models
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References:

[1] Bretagnolle, J.; Huber, C., Estimation des densités, risques minimax, Z. Wahrsch. Verw. Geb., 47, 119-137 (1979) · Zbl 0413.62024
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[9] Federer, H., Geometric Measure Theory (1969), Springer: Springer Berlin · Zbl 0176.00801
[10] Orey, S., Limit Theorems for Markov Chain Transition Probabilities (1971), Van Nostrand: Van Nostrand New York · Zbl 0295.60054
[11] Roussas, G., Nonparametric estimation in Markov processes, (Tech. Rept. No. 110 (1967), University of Wisconsin: University of Wisconsin Madison), 73-87 · Zbl 0181.45804
[12] Roussas, G., Nonparametric estimation of the transition distribution function of a Markov process, Ann. Math. Statist., 40, 4, 1386-1400 (1969) · Zbl 0188.50501
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