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Optimal choice among a class of nonparametric estimators of the jump rate for piecewise-deterministic Markov processes. (English) Zbl 1353.62091

Summary: A piecewise-deterministic Markov process is a stochastic process whose behavior is governed by an ordinary differential equation punctuated by random jumps occurring at random times. We focus on the nonparametric estimation problem of the jump rate for such a stochastic model observed within a long time interval under an ergodicity condition. We introduce an uncountable class (indexed by the deterministic flow) of recursive kernel estimates of the jump rate and we establish their strong pointwise consistency as well as their asymptotic normality. We propose to choose among this class the estimator with the minimal variance, which is unfortunately unknown and thus remains to be estimated. We also discuss the choice of the bandwidth parameters by cross-validation methods.

MSC:

62M05 Markov processes: estimation; hidden Markov models
62G20 Asymptotic properties of nonparametric inference
60J25 Continuous-time Markov processes on general state spaces