Stochastic kernel

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A stochastic kernel is the transition function of a (usually discrete-time) stochastic process. Often, it is assumed to be iid, thus a probability density function.

Formally a density can be

where is the observed series, is the bandwidth, and K is the kernel function.

Examples

  • The uniform kernel is for .
  • The triangular kernel is for .
  • The quartic kernel is for .
  • The Epanechnikov kernel is for .

de:Übergangswahrscheinlichkeit it:Probabilità di transizione

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