Estimation of stationary probability of semi-Markov chains

DOI10.1007/S11203-021-09255-3MaRDI QIDQ2144198zbMATH OpenOpenAlexFDO

Authors N. Limnios, Bei Wu

Publication date 1 June 2022

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-021-09255-3

zbMATH Keywords

asymptotic normalityconsistencyestimationlaw of iterated logarithmrate of convergencesemi-Markov chainstationary probability

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov renewal processes, semi-Markov processes (60K15)

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Cited in

(6)

• Empirical estimators for semi-Markov processes
• Estimation of the stationary distribution of a semi-Markov chain
• First hitting probabilities for semi-Markov chains and estimation
• Estimation of the intensity of the hitting time for semi-Markov chains and hidden Markov renewal chains
• Nonparametric estimation of the stationary distribution of a discrete-time semi-Markov process
• Large deviations for empirical estimators of the stationary distribution of a semi-Markov process with finite state space

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