Nonparametric estimation for a class of piecewise-deterministic Markov processes

DOI10.1239/JAP/1389370091MaRDI QIDQ5407018zbMATH OpenOpenAlexFDO

Authors Takayuki Fujii

Publication date 4 April 2014

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1389370091

zbMATH Keywords

local timenonparametric estimationpiecewise-deterministic Markov processstationary densityuniform consistency

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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• Some problems in nonparametric inference for the stress release process related to the local time
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Cited in

(10)

• 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
• Statistical estimation of jump rates for a piecewise deterministic Markov processes with deterministic increasing motion and jump mechanism
• Nonparametric Density Estimation, Prediction, and Regression for Markov Sequences
• A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions
• Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments
• A Robbins–Monro Algorithm for Non‐Parametric Estimation of NAR Process with Markov Switching: Consistency
• scientific article; zbMATH DE number 932624 (Why is no real title available?)
• Optimal choice among a class of nonparametric estimators of the jump rate for piecewise-deterministic Markov processes
• A recursive nonparametric estimator for the transition kernel of a piecewise-deterministic Markov process

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