Estimating the inter-arrival time density of Markov renewal processes under structural assumptions on the transition distribution

DOI10.1016/J.SPL.2010.08.028MaRDI QIDQ625017zbMATH OpenOpenAlexWikidataFDO

Authors Anton Schick, Wolfgang Wefelmeyer, Priscilla Greenwood

Publication date 11 February 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.08.028

zbMATH Keywords

density estimatorasymptotically linear estimatorlocal von Mises statistic

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Markov renewal processes, semi-Markov processes (60K15)

Recommendations

• Estimating expected sojourn times for a markov renewal process
• Estimating the transition probabilities from censored Markov renewal processes
• The Markovian arrival process on a random interval
• Non-parametric estimation of the conditional distribution of the interjumping times for piecewise-deterministic Markov processes
• Estimating the inter-occurrence time distribution from superposed renewal processes
• Estimation of the intensity of the hitting time for semi-Markov chains and hidden Markov renewal chains
• Estimation for renewal processes with unobservable gamma or Erlang interarrival times

Cites work

• scientific article; zbMATH DE number 1557075 (Why is no real title available?)
• Asymptotic normality of kernel density estimators under dependence
• Computing the distribution of the product of two continuous random variables
• Convergence rates for density estimators of weakly dependent time series
• Convergence rates of density estimators for sums of powers of observations
• Density Estimation for One-Dimensional Dynamical Systems
• Density estimation for Markov chains
• Estimating Densities of Functions of Observations
• Improved Density Estimators for Invertible Linear Processes
• Limit Theorems for Dependent U-statistics
• Markov chains and stochastic stability
• Non-standard behavior of density estimators for sums of squared observations
• On local \(U\)-statistic processes and the estimation of densities of functions of several sample variables
• Root-\(n\) consistency in weighted \(L _{1}\)-spaces for density estimators of invertible linear processes
• Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
• Waiting-times and returns in high-frequency financial data: An empirical study

Cited in

(7)

• Minimum divergence estimators for the Radon-Nikodym derivatives of the semi-Markov kernel
• On the consistency of a kernel estimator of the distribution density of the sojourn time in a fixed state for semi-Markov processes.
• Estimating expected sojourn times for a markov renewal process
• Non standard behavior of density estimators for functions of independent observations
• Statistical inference for renewal processes
• On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence
• Burstiness descriptors for markov renewal processes and markovian arrival processes

This page was built for publication: Estimating the inter-arrival time density of Markov renewal processes under structural assumptions on the transition distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q625017)