Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152605 | Statistics & Probability Letters | 2011 | 6 Pages |
Abstract
We consider a stationary Markov renewal process whose inter-arrival time density depends multiplicatively on the distance between the past and present state of the embedded chain. This is appropriate when the jump size is governed by influences that accumulate over time. Then we can construct an estimator for the inter-arrival time density that has the parametric rate of convergence. The estimator is a local von Mises statistic. The result carries over to the corresponding semi-Markov process.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Priscilla E. Greenwood, Anton Schick, Wolfgang Wefelmeyer,