Kernel estimation of the transition density in bifurcating Markov chains

Abstract

We study the kernel estimator of the transition density of bifurcating Markov chains. Under some ergodic and regularity properties, we prove that this estimator is consistent and asymptotically normal. Next, in the numerical studies, we propose two data-driven methods to choose the bandwidth parameters. These methods are based on the so-called two bandwidths approach.

27 pages, 24 figures. arXiv admin note: text overlap with arXiv:2012.04741