Empirical estimator of stationary distribution for semi-Markov processes

被引：22

作者：

Limnios, N ^{[1
]}

Ouhbi, B ^{[1
]}

Sadek, A ^{[1
]}

机构：

[1] Univ Technol Compiegne, Lab Math Appl, F-60205 Compiegne, France

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2005年 / 34卷 / 04期

关键词：

asymptotic properties; Markov chain; mean sojourn time; semi-Markov process; stationary distribution;

D O I：

10.1081/STA-200054441

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：

The problem of statistical inference for semi-Markov processes is of increasing interest in recent literature. The aim of this article is to present an empirical estimator of the stationary distribution for semi-Markov processes. We use the empirical estimators for the stationary distribution of the embedded Markov chain and for the mean sojourn time. The main results given here are the asymptotic properties of these estimators, as the strong consistency and the asymptotic normality.

引用

页码：987 / 995

页数：9

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