Nonparametric estimation of the stationary density and the transition density of a Markov chain

In this paper, we study first the problem of nonparametric estimation of the stationary density f of a discrete-time Markov chain ( X i ) . We consider a collection of projection estimators on finite dimensional linear spaces. We select an estimator among the collection by minimizing a penalized contrast. The same technique enables us to estimate the density g of ( X i , X i + 1 ) and so to provide an adaptive estimator of the transition density π = g / f . We give bounds in L 2 norm for these estimators and we show that they are adaptive in the minimax sense over a large class of Besov spaces. Some examples and simulations are also provided.