A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions

Romain Azaïs 1, 2 Alexandre Genadot 3, 4
1 BIGS - Biology, genetics and statistics
Inria Nancy - Grand Est, IECL - Institut Élie Cartan de Lorraine
4 CQFD - Quality control and dynamic reliability
IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest
Abstract : Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization of the jump rate of such a process with discrete transitions. We deduce from this result a nonparametric technique for estimating this feature of interest. We state the uniform convergence in probability of the estimator. The methodology is illustrated on a numerical example.
Document type :
Journal articles
Liste complète des métadonnées

Cited literature [14 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01334847
Contributor : Romain Azaïs <>
Submitted on : Tuesday, June 21, 2016 - 2:19:17 PM
Last modification on : Thursday, February 7, 2019 - 4:48:40 PM
Document(s) archivé(s) le : Thursday, September 22, 2016 - 11:05:49 AM

File

Paper.pdf
Files produced by the author(s)

Identifiers

Citation

Romain Azaïs, Alexandre Genadot. A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions. Communication in Statistics - Theory and Methods, Taylor & Francis, 2018, 47 (8), pp.1812-1829. ⟨10.1080/03610926.2017.1327072⟩. ⟨hal-01334847⟩

Share

Metrics

Record views

309

Files downloads

91