The Annals of Probability · 1998 · 27 citations · 14 references
EngineeringMathematicsProbability TheoryStochastic ModelingStochastic ProcessesDensity EstimationErgodic TheoryMarkov ChainsMarkov ProcessesMaximum Likelihood EstimationStationary ProcessesErgodic ProcessesErgodicityStationary Processes Estimation
We consider the problem of $L_p$-consistent density estimation from the initial segments of strongly dependent processes. It is shown that no procedure can consistently estimate the one-dimensional marginal density of every stationary ergodic process for which such a density exists. A similar result is established for the problem of estimating the support of the marginal distribution of an ergodic process.
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How Sampling Reveals a Process
Donald Ornstein, Benjamin Weiss · The Annals of Probability · 1990 · 122 citations · Full text