On general bootstrap of empirical estimator of a semi-Markov kernel with applications

Salim Bouzebda and Nikolaos Limnios

Journal of Multivariate Analysis, 2013, vol. 116, issue C, 52-62

Abstract: The aim of this paper is to introduce a general bootstrap by exchangeable weight random variables for empirical estimators of the semi-Markov kernels and of the conditional transition probabilities for semi-Markov processes with countable state space. Asymptotic properties of these generalized bootstrapped empirical distributions are obtained by a martingale approach. We show how to apply our results to the construction of confidence intervals and change point problem where the limiting distribution of the proposed statistic is derived under the null hypothesis.

Keywords: Semi-Markov processes; Semi-Markov kernel; Empirical estimator; Invariance principle; Bootstrap; Exchangeable bootstrap; Confidence intervals; Change point problem (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.jmva.2012.11.008

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