naradamar {boodd}R Documentation

Nadaraya-Watson Estimator for Transition Densities.

Description

Calculates the Nadaraya-Watson estimator for estimating the transition densities of a Markov chain.

Usage

naradamar(Sx, Sy, x, bandwidth)

Arguments

Sx

A vector of the first coordinate of the grid for which the Nadaraya-Watson kernel estimator will be computed.

Sy

A vector of the second coordinate of the grid for which the Nadaraya-Watson kernel estimator will be computed.

x

A numeric vector representing a Markov chain.

bandwidth

A positive numeric value representing the kernel bandwidth smoothing parameter.

Details

The naradamar function computes the estimated transition densities f(x, y) of a process x on a grid given by the Sx and Sy values. It utilizes a Nadaraya kernel-type estimator for the transition density, with a bandwidth provided by the user.

Value

Returns a matrix of size Sx\cdotSy, containing the estimated transition densities on the grid.

References

Bertail, P. and Dudek, A. (2025). Bootstrap for Dependent Data, with an R package (by Bernard Desgraupes and Karolina Marek) - submitted..

See Also

bandw1.

Examples

set.seed(12345)
phi=0.4
n=200
X <- arima.sim(list(ar=phi),n=n)
s=seq(quantile(X,0.01),quantile(X,0.99), length.out=50)
h=bandw1(X)
res=naradamar(s,s,X,h)
persp(s,s,res)

[Package boodd version 0.1 Index]