Article ID Journal Published Year Pages File Type
1152605 Statistics & Probability Letters 2011 6 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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