Nonparametric estimation of the conditional distribution of the inter-jumping times for piecewise-deterministic Markov processes
AZAÏS, Romain
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
DUFOUR, François
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
GÉGOUT-PETIT, Anne
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
AZAÏS, Romain
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
DUFOUR, François
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
GÉGOUT-PETIT, Anne
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
< Reduce
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Language
en
Document de travail - Pré-publication
English Abstract
This paper presents a nonparametric method for estimating the conditional density associated to the jump rate of a piecewise-deterministic Markov process. In our framework, the estimation needs only one observation of the ...Read more >
This paper presents a nonparametric method for estimating the conditional density associated to the jump rate of a piecewise-deterministic Markov process. In our framework, the estimation needs only one observation of the process within a long time interval. Our method relies on a generalization of Aalen's multiplicative intensity model. We prove the uniform consistency of our estimator, under some reasonable assumptions related to the primitive characteristics of the process. A simulation example illustrates the behavior of our estimator.Read less <
Origin
Hal imported