Non-Parametric estimation of the conditional distribution of the interjumping times for piecewise-deterministic Markov processes
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]
DUFOUR, François
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
Article de revue
This item was published in
Scandinavian Journal of Statistics. 2014-12, vol. 41, n° 4, p. 950–969
Wiley
English Abstract
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 ...Read more >
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.Read less <
English Keywords
jump rate estimation
Nelson–Aalen estimator
asymptotic consistency
piecewise-deterministic Markov process
non- parametric estimation
ergodicity of Markov chains
Origin
Hal imported