Nonparametric estimation in Markov processes

P. Billingsley,Statistical Inference for Markov Processes, University of Chicago Press, 1961.

S. Bochner,Harmonic Analysis and the Theory of Probability, University of California Press, 1955.

Theo. Cacoullos, “Estimation of a multivariate density,”Ann. Inst. Statist. Math., 18 (1964), 179–189.

H. Cramér,Mathematical Methods of Statistics, Princeton University Press, 1946.

J. Doob,Stochastic Processes, Wiley, New York, 1953.

U. Grenander, “Some direct estimates of the mode,”Ann. Math. Statist., 36 (1965), 131–138.

L. LeCam, “Locally asymptotically normal families of distributions,”University of California Publications in Statistics, 3 (1960), 37–98.

M. Loève,Probability Theory, 3rd ed., Van Nostrand, N. J., 1963.

E. Parzen, “On estimation of a probability density function and mode,”Ann. Math. Statist., 33 (1962), 1065–1076.

M. Rosenblatt, “Remarks on some nonparametric estimates of a density function,”Ann. Math. Statist., 27 (1956), 832–837.

R. Roussas, “Asymptotic inference in Markov processes,”Ann. Math. Statist., 36 (1965), 978–992.

G. Roussas, “Extension to Markov Processes of a result by Wald about the consistency of the maximum likelihood estimate,”Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete, 4 (1965), 69–73.

G. S. Watson and M. R. Leadbetter, “On the estimation of the probability density, I,”Ann. Math. Statist., 34 (1963), 480–491.

P. Whittle, “On the smoothing of probability density functions,”J. R. Statist. Soc., Ser. B, 20 (1958), 334–343.