Estimation of the stationary distribution of semi-Markov processes with Borel state space

N. Limnios

Statistics & Probability Letters, 2006, vol. 76, issue 14, 1536-1542

Abstract: We present an empirical estimator of the stationary distribution of continuous time semi-Markov processes with Borel state space. It comes as a particular case of an estimator of a linear functional of the stationary distribution. We give asymptotic results for strong consistency, and the weak and strong invariance principles.

Keywords: Stationary; distribution; Semi-Markov; process; Markov; renewal; process; Strong; consistency; Weak; invariance; principle; Strong; invariance; principle (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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