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Least squares type estimation of the transition density of a particular hidden Markov chain
Hidden Markov Chain Transition Density Nonparametric Estimation Model Selection Rate of convergence
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2009/9/16
In this paper, we study the following model of hidden Markov chain: $Y_i=X_i+varepsilon_i$, $ i=1,dots,n+1$ with $(X_i)$ a real-valued stationary Markov chain and $(varepsilon_i)_{1leq ileq n+1}$ a no...