Asymptotic normality of the kernel estimate for the Markovian transition operator
Volume 38 / 2011
Applicationes Mathematicae 38 (2011), 93-105
MSC: 62M05, 62M15.
DOI: 10.4064/am38-1-7
Abstract
We build a kernel estimator of the Markovian transition operator as an endomorphism on $L^1$ for some discrete time continuous states Markov processes which satisfy certain additional regularity conditions. The main result deals with the asymptotic normality of the kernel estimator constructed.
