ESTIMATION OF THE STATIONARY DISTRIBUTION OF A SEMI-MARKOV CHAIN

被引：0

作者：

Barbu, Vlad Stefan ^{[1
]}

Bulla, Jan ^{[2
]}

Maruotti, Antonello ^{[3
]}

机构：

[1] Univ Rouen, Lab Math Raphael Salem, UMR 6085, Ave Univ,BP 12, F-76801 St Etienne Du Rouvray, France

[2] Univ Caen, Lab Math Nicolas Oresme, CNRS UMR 6139, F-14032 Caen, France

[3] Univ Roma Tre, Dipartimento Ist Pubbl Econ & Societe, Rome, Italy

来源：

JOURNAL OF RELIABILITY AND STATISTICAL STUDIES | 2012年 / 5卷

关键词：

semi-Markov chains; stationary distribution; nonparametric estimation; asymptotic properties;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article is concerned with the estimation of the stationary distribution of a discrete-time semi-Markov process. After briefly presenting the discrete-time semi-Markov setting, we propose an estimator of the associated stationary distribution. The main results concern the asymptotic properties of this estimator, as the sample size becomes large. A numerical example illustrates the asymptotic properties of the estimators.

引用

页码：15 / 26

页数：12

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