Optimal choice among a class of nonparametric estimators of the jump rate for piecewise-deterministic Markov processes

DOI10.1214/16-EJS1207zbMATH Open1353.62091arXiv1506.07722OpenAlexW2242531850MaRDI QIDQ502830FDOQ502830

Authors: Romain Azaïs, Aurélie Muller-Gueudin 

Publication date: 11 January 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: A piecewise-deterministic Markov process is a stochastic process whose behavior is governed by an ordinary differential equation punctuated by random jumps occurring at random times. We focus on the nonparametric estimation problem of the jump rate for such a stochastic model observed within a long time interval under an ergodicity condition. We introduce an uncountable class (indexed by the deterministic flow) of recursive kernel estimates of the jump rate and we establish their strong pointwise consistency as well as their asymptotic normality. We propose to choose among this class the estimator with the minimal variance, which is unfortunately unknown and thus remains to be estimated. We also discuss the choice of the bandwidth parameters by cross-validation methods.

Full work available at URL: https://arxiv.org/abs/1506.07722

Recommendations

• Nonparametric estimation of jump rates for a specific class of piecewise deterministic Markov processes
• Non-parametric estimation of the conditional distribution of the interjumping times for piecewise-deterministic Markov processes
• A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions
• Nonparametric estimation for a class of piecewise-deterministic Markov processes
• A recursive nonparametric estimator for the transition kernel of a piecewise-deterministic Markov process

zbMATH Keywords

nonparametric estimationcross-validationkernel methodpiecewise-deterministic Markov processjump rate

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Continuous-time Markov processes on general state spaces (60J25)

Cited In (10)

• Non-parametric estimation of the conditional distribution of the interjumping times for piecewise-deterministic Markov processes
• Non-parametric estimation of the spiking rate in systems of interacting neurons
• Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
• Nonparametric estimation of jump rates for a specific class of piecewise deterministic Markov processes
• Convergence rates for semistochastic processes
• A recursive nonparametric estimator for the transition kernel of a piecewise-deterministic Markov process
• Probabilistic representations of fragmentation equations
• Nonparametric estimation of the jump rate for non-homogeneous marked renewal processes
• A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions
• Nonparametric estimation for a class of piecewise-deterministic Markov processes

This page was built for publication: Optimal choice among a class of nonparametric estimators of the jump rate for piecewise-deterministic Markov processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q502830)