NONPARAMETRIC ESTIMATION IN SEMI-MARKOV PROCESSES

Nikolaos LIMNIOS


Université de Technologie de Compiègne
France


ABSTRACT

This talk concerns estimation of stationary distribution of ergodic semi-Markov processes in continuous time and general state space. An empirical estimator is defined and its properties of consistency and asymptotic normality are proved. Potential applications are discussed.



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