Hervé, Loïc; Ledoux, James - In: Statistics & Probability Letters 83 (2013) 9, pp. 2119-2128
In this paper, we are concerned with centered Markov Additive Processes {(Xt,Yt)}t∈T where the driving Markov process {Xt}t∈T has a finite state space. Under suitable conditions, we provide a local limit theorem for the density of the absolutely continuous part of the probability...