Estimation of the stationary distribution of a semi-Markov chain

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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