Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems

• 成果类型: Article
• 署名作者: Fan, JQ; Yao, QW; Tong, H
• 署名单位: University of Kent
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/83.1.189
• 发表日期: 1996
• 页码: 189206
• 关键词: derivatives; chaos

摘要

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.