Title: A perturbation analysis of some Markov chains models with time-varying parameters,
Abstract: We study some regularity properties in locally stationary Markov models which
are fundamental for controlling the bias of nonparametric kernel estimators. In
particular, we provide an alternative to the standard notion of derivative
process developed in the literature and that can be used for studying a wide
class of Markov processes. To this end, for some families of V-geometrically
ergodic Markov kernels indexed by a real parameter u, we give conditions under
which the invariant probability distribution is differentiable with respect to
u, in the sense of signed measures. Our results also complete the existing
literature for the perturbation analysis of Markov chains, in particular when
exponential moments are not finite. Our conditions are checked on several
original examples of locally stationary processes such as integer-valued
autoregressive processes, categorical time series or threshold autoregressive
processes.