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

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.

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Year of publication:	2006
Authors:	Limnios, N.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 14, p. 1536-1542
Publisher:	Elsevier
Keywords:	Stationary distribution Semi-Markov process Markov renewal process Strong consistency Weak invariance principle Strong invariance principle

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138300