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Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems. (English) Zbl 0865.62026
Summary: 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.

62G07 Density estimation
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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