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- W2009969275 abstract "In this paper we study nonparametric estimation problems for a class of piecewise-deterministic Markov processes (PDMPs). Borovkov and Last (2008) proved a version of Rice's formula for PDMPs, which explains the relation between the stationary density and the level crossing intensity. From a statistical point of view, their result suggests a methodology for estimating the stationary density from observations of a sample path of PDMPs. First, we introduce the local time related to the level crossings and construct the local-time estimator for the stationary density, which is unbiased and uniformly consistent. Secondly, we investigate other estimation problems for the jump intensity and the conditional jump size distribution." @default.
- W2009969275 created "2016-06-24" @default.
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- W2009969275 date "2013-12-01" @default.
- W2009969275 modified "2023-09-25" @default.
- W2009969275 title "Nonparametric Estimation for a Class of Piecewise-Deterministic Markov Processes" @default.
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- W2009969275 doi "https://doi.org/10.1239/jap/1389370091" @default.
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