A recursive nonparametric estimator for the transition kernel of a piecewise-deterministic Markov process

DOI10.1051/PS/2013054MaRDI QIDQ5174378zbMATH OpenOpenAlexFDO

Authors Romain Azaïs

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.5579

zbMATH Keywords

asymptotic consistencynonparametric estimationpiecewise-deterministic Markov processesrecursive estimatortransition kernel

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Abstract: In this paper, we investigate a nonparametric approach to provide a recursive estimator of the transition density of a non-stationary piecewise-deterministic Markov process, from only one observation of the path within a long time. In this framework, we do not observe a Markov chain with transition kernel of interest. Fortunately, one may write the transition density of interest as the ratio of the invariant distributions of two embedded chains of the process. Our method consists in estimating these invariant measures. We state a result of consistency and a central limit theorem under some general assumptions about the main features of the process. A simulation study illustrates the well asymptotic behavior of our estimator.

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