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math.PR2015
On estimation states of hidden markov models in condition of unknown transition matrix
Vasily Vasilyev, Alexander Dobrovidov
In this paper, we develop methods of nonlinear filtering and prediction of an unobservable Markov chain with a finite set of states. This Markov chain controls coefficients of AR(p…
math.PR2014★ 1 cited
Data-driven bandwidth choice for gamma kernel estimates of density derivatives on the positive semi-axis
A. V. Dobrovidov, L. A Markovich
In some applications it is necessary to estimate derivatives of probability densities defined on the positive semi-axis. The quality of nonparametric estimates of the probability d…
math.PR2014
Nonparametric gamma kernel estimators of density derivatives on positive semiaxis
A. V. Dobrovidov, L. A Markovich
We consider nonparametric estimation of the derivative of a probability density function with the bounded support on . Estimates are looked up in the class of estimates…