Author: George G. RoussasPublisher:
ISBN:
Category :
Languages : en
Pages : 11
Book Description
Nonparametric Estimation in Markov Processes
Author: George G. RoussasNonparametric Statistics for Stochastic Processes
Author: Denis BosqPublisher: Springer Science & Business Media
ISBN: 146840489X
Category : Mathematics
Languages : en
Pages : 181
Book Description
This book provides a mathematically rigorous treatment of the theory of nonparametric estimation and prediction for stochastic processes. It discusses discrete time and continuous time, and the emphasis is on the kernel methods. Several new results are presented concerning optimal and superoptimal convergence rates. How to implement the method is discussed in detail and several numerical results are presented. This book will be of interest to specialists in mathematical statistics and to those who wish to apply these methods to practical problems involving time series analysis.
Nonparametric Estimation in Markov Processes
Author: George C. RoussasPublisher:
ISBN:
Category :
Languages : en
Pages : 13
Book Description
The purpose of the present paper is to consider the non-parametric estimation of densities in the case of Markov processes. Asymptotically unbiased estimates for the initial and (two-dimensional) joint densities are constructed. These estimates are shown to be consistent in quadratic mean, and furthermore a consistent, in the probability sense, estimate for the transition density is obtained. It is shown that, under suitable conditions, all three estimators mentioned, properly normalized, are asymptotically normal.
Nonparametric Estimation for Renewal and Markov Processes
Author: Odile PonsPublisher:
ISBN: 9782953412215
Category :
Languages : en
Pages : 262
Book Description
Non-parametric Estimation for Non-homogeneous Semi-Markov Processes
Author: André MonteiroTopics in Stochastic Analysis and Nonparametric Estimation
Author: Pao-Liu ChowPublisher: Springer Science & Business Media
ISBN: 0387751114
Category : Mathematics
Languages : en
Pages : 223
Book Description
To honor Rafail Z. Khasminskii, on his seventy-fifth birthday, for his contributions to stochastic processes and nonparametric estimation theory an IMA participating institution conference entitled "Conference on Asymptotic Analysis in Stochastic Processes, Nonparametric Estimation, and Related Problems" was held. This volume commemorates this special event. Dedicated to Professor Khasminskii, it consists of nine papers on various topics in probability and statistics.
Statistical Inference for Piecewise-deterministic Markov Processes
Author: Romain AzaisPublisher: John Wiley & Sons
ISBN: 1786303027
Category : Mathematics
Languages : en
Pages : 300
Book Description
Piecewise-deterministic Markov processes form a class of stochastic models with a sizeable scope of applications: biology, insurance, neuroscience, networks, finance... Such processes are defined by a deterministic motion punctuated by random jumps at random times, and offer simple yet challenging models to study. Nevertheless, the issue of statistical estimation of the parameters ruling the jump mechanism is far from trivial. Responding to new developments in the field as well as to current research interests and needs, Statistical inference for piecewise-deterministic Markov processes offers a detailed and comprehensive survey of state-of-the-art results. It covers a wide range of general processes as well as applied models. The present book also dwells on statistics in the context of Markov chains, since piecewise-deterministic Markov processes are characterized by an embedded Markov chain corresponding to the position of the process right after the jumps.
Nonparametric Estimation of Transition Intensities and Transition Probabilities
Author: N. KeidingRecursive Nonparametric Estimation of Nonstationary Markov Processes
Author: O. Hernandez-LermaAsymptotic Properties of Parametric and Nonparametric Estimators of Continuous and Discrete Time Markov Processes
Author: Valentina CorradiPublisher:
ISBN:
Category : Ergodic theory
Languages : en
Pages : 256
Book Description