Adaptive estimation of the transition density of a particular hidden Markov chain

  • Authors:

  • Claire Lacour

  • Affiliations:

  • MAP5, Université Paris 5, 45 rue des Saints-Pères 75270 Paris Cedex 06, France

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2008

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Abstract

We study the following model of hidden Markov chain: Y"i=X"i+@?"i,i=1,...,n+1 with (X"i) a real-valued positive recurrent and stationary Markov chain, and (@?"i)"1"=