Estimation for discrete-time semi-Markov reward processes: analysis and inference

DOI10.1007/S11009-015-9468-1MaRDI QIDQ340132zbMATH OpenOpenAlexFDO

Authors Kavous Khorshidian, F. Negahdari, H. A. Mardnifard

Publication date 11 November 2016

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-015-9468-1

zbMATH Keywords

asymptotic normalitystrong consistencydelta methoddiscrete-time semi-Markov processesempirical estimatorreward process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Markov renewal processes, semi-Markov processes (60K15)

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Cites work

• scientific article; zbMATH DE number 5683075 (Why is no real title available?)
• A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION
• A functional central limit theorem for the empirical estimator of a semi-Markov kernel
• A semi-Markov modulated interest rate model
• ASYMPTOTIC PROPERTIES FOR MAXIMUM LIKELIHOOD ESTIMATORS FOR RELIABILITY AND FAILURE RATES OF MARKOV CHAINS
• Applied Semi-Markov Processes
• Asymptotic behavior of multivariate reward processes with nonlinear reward functions
• Central Limit Theorem for Nonlinear Semi-Markov Reward Processes
• Discrete-Time Semi-Markov Model for Reliability and Survival Analysis
• Empirical estimation for discrete-time semi-Markov processes with applications in reliability
• Markov Renewal Processes: Definitions and Preliminary Properties
• Markov renewal theory
• Nonparametric estimation for semi-Markov processes based on its hazard rate functions
• Nonparametric reliability estimation of semi-Markov processes
• Prediction for reward processes
• Reward processes for semi-Markov processes: asymptotic behaviour
• Reward processes with nonlinear reward functions
• Semi-Markov disability insurance models
• Statistical Inference about Markov Chains

Cited in

(6)

• Estimation of the stationary distribution of a semi-Markov chain
• Exact distributions for reward functions on semi-Markov and Markov additive processes
• scientific article; zbMATH DE number 1091183 (Why is no real title available?)
• A basic formula for performance gradient estimation of semi-Markov decision processes
• scientific article; zbMATH DE number 5683075 (Why is no real title available?)
• The quality of life via semi Markov reward modelling

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