Non-Parametric estimation of the conditional distribution of the interjumping times for piecewise-deterministic Markov processes
| hal.structure.identifier | Biology, genetics and statistics [BIGS] | |
| hal.structure.identifier | Institut Élie Cartan de Lorraine [IECL] | |
| dc.contributor.author | AZAÏS, Romain | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | DUFOUR, François | |
| hal.structure.identifier | Institut Élie Cartan de Lorraine [IECL] | |
| dc.contributor.author | GÉGOUT-PETIT, Anne | |
| dc.date.accessioned | 2024-04-04T03:19:28Z | |
| dc.date.available | 2024-04-04T03:19:28Z | |
| dc.date.issued | 2014-12 | |
| dc.identifier.issn | 0303-6898 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/194512 | |
| dc.description.abstractEn | 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 process within a long time interval. Our method relieson a generalization of Aalen’s multiplicative intensity model. We pr ove the uniform consistency ofour estimator, under some reasonable assumptions related to the p rimitive characteristics of theprocess. A simulation study illustrates the behaviour of our estimator. | |
| dc.language.iso | en | |
| dc.publisher | Wiley | |
| dc.subject.en | jump rate estimation | |
| dc.subject.en | Nelson–Aalen estimator | |
| dc.subject.en | asymptotic consistency | |
| dc.subject.en | piecewise-deterministic Markov process | |
| dc.subject.en | non- parametric estimation | |
| dc.subject.en | ergodicity of Markov chains | |
| dc.title.en | Non-Parametric estimation of the conditional distribution of the interjumping times for piecewise-deterministic Markov processes | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1111/sjos.12076 | |
| dc.subject.hal | Mathématiques [math]/Optimisation et contrôle [math.OC] | |
| bordeaux.journal | Scandinavian Journal of Statistics | |
| bordeaux.page | 950–969 | |
| bordeaux.volume | 41 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.issue | 4 | |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01103700 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01103700v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Scandinavian%20Journal%20of%20Statistics&rft.date=2014-12&rft.volume=41&rft.issue=4&rft.spage=950%E2%80%93969&rft.epage=950%E2%80%93969&rft.eissn=0303-6898&rft.issn=0303-6898&rft.au=AZA%C3%8FS,%20Romain&DUFOUR,%20Fran%C3%A7ois&G%C3%89GOUT-PETIT,%20Anne&rft.genre=article |
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