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
\cdot
Sy
, 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
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)