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Estimation of the stationary distribution of a semi-Markov chain

Estimation of the stationary distribution of a semi-Markov chain
Estimation of the stationary distribution of a semi-Markov chain
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.
0974-8024
15-26
Barbu, Vlad
de9930b8-e03b-41da-9044-fb28aedbe0ed
Bulla, Jan
4d80e568-b212-49e9-b0c9-a6f21430224e
Maruotti, Antonello
7096256c-fa1b-4cc1-9ca4-1a60cc3ee12e
Barbu, Vlad
de9930b8-e03b-41da-9044-fb28aedbe0ed
Bulla, Jan
4d80e568-b212-49e9-b0c9-a6f21430224e
Maruotti, Antonello
7096256c-fa1b-4cc1-9ca4-1a60cc3ee12e

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.

Record type: Article

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.

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Accepted/In Press date: 2012
Organisations: Statistics, Statistical Sciences Research Institute

Identifiers

Local EPrints ID: 341223
URI: https://eprints.soton.ac.uk/id/eprint/341223
ISSN: 0974-8024
PURE UUID: a0252089-4e5d-475e-9a2d-e0ce649e59eb

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Date deposited: 18 Jul 2012 13:25
Last modified: 18 Jul 2017 05:37

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