Estimation of the stationary distribution of a semi-Markov chain


Barbu, Vlad, Bulla, Jan and Maruotti, Antonello (2012) Estimation of the stationary distribution of a semi-Markov chain. Journal of Reliability and Statistical Studies, 5, 15-26. (In Press).

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Description/Abstract

This article is concerned with the estimation of the stationary distribution of a discretetime 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.

Item Type: Article
ISSNs: 0974-8024 (print)
2229-5666 (electronic)
Related URLs:
Subjects: H Social Sciences > HA Statistics
Divisions: Faculty of Social and Human Sciences > Southampton Statistical Sciences Research Institute
Faculty of Social and Human Sciences > Mathematical Sciences > Statistics
ePrint ID: 341223
Date Deposited: 18 Jul 2012 13:25
Last Modified: 27 Mar 2014 20:23
URI: http://eprints.soton.ac.uk/id/eprint/341223

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