Non-Parametric estimation of the conditional distribution of the interjumping times for piecewise-deterministic Markov processes
Langue
en
Article de revue
Ce document a été publié dans
Scandinavian Journal of Statistics. 2014-12, vol. 41, n° 4, p. 950–969
Wiley
Résumé en anglais
This paper presents a non-parametric method for estimating the conditional densityassociated to the jump rate of a piecewise-deterministic Markov process. In our framework, theestimation needs only one observation of the ...Lire la suite >
Mots clés en anglais
jump rate estimation
Nelson–Aalen estimator
asymptotic consistency
piecewise-deterministic Markov process
non- parametric estimation
ergodicity of Markov chains