Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems

Fan, Jianqing, Yao, Qiwei, Tong, Howell (1996) Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems. Biometrika, 83 (1). pp. 189-206. ISSN 0006-3444. (doi:10.1093/biomet/83.1.189) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:19170)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL: https://doi.org/10.1093/biomet/83.1.189

Abstract

Using locally polynomial regression, we develop nonparametric estimators for the conditional density function and its square root, and their partial derivatives. Two measures of sensitivity to initial conditions in nonlinear stochastic dynamic systems are proposed, one of which relates Fisher information with initial-value sensitivity in dynamical systems. We propose estimators for these, and show asymptotic normality for one of them. We further propose a simple method for choosing the bandwidth. The methods are illustrated by simulation of two well-known models in dynamical systems.

Item Type:	Article
DOI/Identification number:	10.1093/biomet/83.1.189
Uncontrolled keywords:	conditional density function; Kullback-Leibler information; locally polynomial regression; nonlinear time series; sensitivity to initial values
Subjects:	Q Science > QA Mathematics (inc Computing science)
Divisions:	Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User:	R.F. Xu
Date Deposited:	09 Jun 2009 14:08 UTC
Last Modified:	09 Mar 2023 11:31 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/19170 (The current URI for this page, for reference purposes)

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