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Filtering and Statistical Properties of Unimodal Maps Perturbed by Heteroscedastic Noises (2411.13939v2)

Published 21 Nov 2024 in math.ST, math.DS, math.PR, and stat.TH

Abstract: We propose a theory of unimodal maps perturbed by an heteroscedastic Markov chain noise and experiencing another heteroscedastic noise due to uncertain observation. We address and treat the filtering problem showing that by collecting more and more observations, one would predict the same distribution for the state of the underlying Markov chain no matter one's initial guess. Moreover we give other limit theorems, emphasizing in particular concentration inequalities and extreme value and Poisson distributions. Our results apply to a family of maps arising from a model of systemic risk in finance.

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