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

DOI10.1214/16-EJS1207MaRDI QIDQ502830zbMATH OpenOpenAlexFDO

Authors Romain Azaïs, Aurélie Muller-Gueudin

Publication date 11 January 2017

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

Full work available at URL https://arxiv.org/abs/1506.07722, https://projecteuclid.org/euclid.ejs/1480734074

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)

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.

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