Kernel Estimation for Real-valued Markov Chains

Abstract

Let {Xn : n = 0, 1, 2, ...} be a real-valued Markov chain. The purpose of this paper is to study properties of kernel type estimators of the stationary density and of the transition density of such a chain. These estimators were considered first by Roussas (1969) and by Rosenblatt (1970). Both authors extended to the Markov chain case some results for… (More)

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