Nonparametric estimation of the jump rate for non-homogeneous marked renewal processes

DOI10.1214/12-AIHP503zbMATH Open1293.62066arXiv1202.2211OpenAlexW2032643424MaRDI QIDQ376702FDOQ376702

Authors: Romain Azaïs, F. Dufour, Anne Gégout-Petit 

Publication date: 19 November 2013

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1202.2211

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zbMATH Keywords

nonparametric estimationasymptotic consistencyergodicity of Markov chainsjump rate estimationNelson-Aalen estimatornon-homogeneous marked renewal process

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

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Cited In (6)

• Statistics of renewal and Markov processes
• Non-Parametric Estimation of the Conditional Distribution of the Interjumping Times for Piecewise-Deterministic Markov Processes
• Nonparametric estimation of jump rates for a specific class of piecewise deterministic Markov processes
• A hidden renewal model for monitoring aquatic systems biosensors
• A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions
• Statistical estimation of jump rates for a piecewise deterministic Markov processes with deterministic increasing motion and jump mechanism

Uses Software

• timereg

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