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CQFD - 2014
Overall Objectives
Application Domains
New Results
Bilateral Contracts and Grants with Industry
Bibliography
Overall Objectives
Application Domains
New Results
Bilateral Contracts and Grants with Industry
Bibliography


Section: New Results

Non-Parametric Estimation of the Conditional Distribution of the Interjumping Times for Piecewise-Deterministic Markov Processes

Participants : Romain Azais, Francois Dufour, Anne Gegout-Petit.

We study a nonparametric method for estimating the conditional density associated to the jump rate of a piecewise-deterministic Markov process. In our framework, the estimation needs only one observation of the process within a long time interval. Our method relies on a generalization of Aalen?s multiplicative intensity model. We prove the uniform consistency of our estimator, under some reasonable assumptions related to the primitive characteristics of the process. A simulation study illustrates the behavior of our estimator. This work has been published in Scandinavian Journal of Statistics: [15] .