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Contents of PMS, Vol. 12, Fasc. 1,
pages 25 - 33
 

ON INTEGRATED SQUARE ERRORS OF RECURSIVE NONPARAMETRIC ESTIMATES OF NONSTATIONARY MARKOV PROCESSES

Onésimo Hernández-Lerma

Abstract: The integrated square error (ISE) and the mean integrated square error (MISE) for a class of recursive estimators of the transition density function of a vector-valued nonstationary Markov process are considered. Conditions are given under which the MISE converges, and the ISE converges in probability and almost surely.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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