Nonparametric estimation of the jump rate for non-homogeneous marked renewal processes - Archive ouverte HAL
Article Dans Une Revue Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques Année : 2013

Nonparametric estimation of the jump rate for non-homogeneous marked renewal processes

Résumé

This paper is devoted to the nonparametric estimation of the jump rate and the cumulative rate for a general class of non-homogeneous marked renewal processes, defined on a separable metric space. In our framework, the estimation needs only one observation of the process within a long time. Our approach is based on a generalization of the multiplicative intensity model, introduced by Aalen in the seventies. We provide consistent estimators of these two functions, under some assumptions related to the ergodicity of an embedded chain and the characteristics of the process. The paper is illustrated by a numerical example.

Dates et versions

hal-00759062 , version 1 (29-11-2012)

Identifiants

Citer

Romain Azaïs, François Dufour, Anne Gégout-Petit. Nonparametric estimation of the jump rate for non-homogeneous marked renewal processes. Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2013, 49 (4), pp.1204-1231. ⟨10.1214/12-AIHP503⟩. ⟨hal-00759062⟩
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