 |
Journal articles
On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
Abstract : We introduce a sequence of stopping times that allow to study an analogue of a life-cycle decomposition for a continuous time Markov process, which is an extension of the well-known splitting technique of Nummelin to the time-continuous case. As a consequence, we are able to give deterministic equivalents of additive functionals of the process and to state a generalisation of Chen's inequality. We apply our results to the problem of non-parametric kernel estimation of the drift of multi-dimensional recurrent, but not necessarily ergodic, diffusion processes.
Cited literature [26 references]
https://hal.archives-ouvertes.fr/hal-00798486
Contributor : Eva Loecherbach <>
Submitted on : Friday, March 8, 2013 - 3:56:28 PM
Last modification on : Thursday, December 3, 2020 - 10:36:13 AM
Long-term archiving on: : Monday, June 17, 2013 - 11:27:40 AM
Contributor : Eva Loecherbach <>
Submitted on : Friday, March 8, 2013 - 3:56:28 PM
Last modification on : Thursday, December 3, 2020 - 10:36:13 AM
Long-term archiving on: : Monday, June 17, 2013 - 11:27:40 AM
File
nummelincontinuSPAfinal.pdf
Files produced by the author(s)