A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions
GENADOT, Alexandre
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
GENADOT, Alexandre
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
< Leer menos
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Idioma
en
Article de revue
Este ítem está publicado en
Communications in Statistics - Theory and Methods. 2018, vol. 47, n° 8, p. 1812-1829
Taylor & Francis
Resumen en inglés
Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization ...Leer más >
Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization of the jump rate of such a process with discrete transitions. We deduce from this result a nonparametric technique for estimating this feature of interest. We state the uniform convergence in probability of the estimator. The methodology is illustrated on a numerical example.< Leer menos
Palabras clave en inglés
Piecewise-deterministic Markov process
Jump rate
Estimation
Discrete transitions
Orígen
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