ESTIMATION OF THE STATIONARY DISTRIBUTION OF A SEMI-MARKOV CHAIN
Keywords:
semi-Markov chains, stationary distribution, nonparametric estimation, asymptotic properties.Abstract
This article is concerned with the estimation of the stationary distribution of a discrete- time semi-Markov process. After briefly presenting the discrete-time semi-Markov setting, we propose an estimator of the associated stationary distribution. The main results concern the asymptotic properties of this estimator, as the sample size becomes large. A numerical example illustrates the asymptotic properties of the estimators.
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