Nonparametric estimation of the conditional distribution of the inter-jumping times for piecewise-deterministic Markov processes
type: Distribution
access URL: https://hal.science/hal-00759064
format: HTML
issued: 2026-06-03T06:14:20.557721
modified: 2026-06-03T06:14:20.509905

test_moissonnage_selune
type: Agent

Nonparametric estimation of the conditional distribution of the inter-jumping times for piecewise-deterministic Markov processes
type: Dataset
contact point: Organization
  fn: CCSD
keyword: 62m05--60j25
keyword: infoeu-reposemanticspreprint
keyword: preprints-working-papers-
keyword: statthstatistics-statstatistics-theory-statth
landing page: https://hal.science/hal-00759064
description: This paper presents 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 example illustrates the behavior of our estimator.
issued: 2026-06-03T06:14:20.530450
language: en
modified: 2026-06-03T06:14:20.530458