Non-Parametric estimation of the conditional distribution of the interjumping times for piecewise-deterministic Markov processes
Résumé
This paper presents a non-parametric 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 pr ove the uniform consistency of
our estimator, under some reasonable assumptions related to the p rimitive characteristics of the
process. A simulation study illustrates the behaviour of our estimator.