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Nonparametric regression on hidden phi-mixing variables: ...
Thierry Dumont</name> <arxiv:affiliation>MODAL'X</arxiv:af · 2012-09-04 · via math.ST updates on arXiv.org

This paper outlines a new nonparametric estimation procedure for unobserved phi-mixing processes. It is assumed that the only information on the stationary hidden states (Xk) is given by the process (Yk), where Yk is a noisy observation of f(Xk). The paper introduces a maximum pseudo-likelihood procedure to estimate the function f and the distribution of the hidden states using blocks of observations of length b. The identifiability of the model is studied in the particular cases b=1 and b=2. The consistency of the estimators of f and of the distribution of the hidden states as the number of observations grows to infinity is established.