Nonparametric estimation of the jump rate for non-homogeneous marked renewal processes
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Abstract: This paper is devoted to the nonparametric estimation of the jump rate and the cumulative rate for a general class of non-homogeneous marked renewal processes, defined on a separable metric space. In our framework, the estimation needs only one observation of the process within a long time. Our approach is based on a generalization of the multiplicative intensity model, introduced by Aalen in the seventies. We provide consistent estimators of these two functions, under some assumptions related to the ergodicity of an embedded chain and the characteristics of the process. The paper is illustrated by a numerical example.
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Cited in
(7)- Non-parametric estimation of the conditional distribution of the interjumping times for piecewise-deterministic Markov processes
- Statistics of renewal and Markov processes
- Nonparametric estimation of jump rates for a specific class of piecewise deterministic Markov processes
- A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions
- A hidden renewal model for monitoring aquatic systems biosensors
- Nonparametric estimation for a compound Poisson process governed by a Markov chain
- Statistical estimation of jump rates for a piecewise deterministic Markov processes with deterministic increasing motion and jump mechanism
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