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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 45, Fasc. 2,
pages 157 - 182
DOI: 10.37190/0208-4147.00210
Published online 2.12.2025
 

Asymptotic normality of nonparametric estimators for discrete-time semi-Markov chains in higher dimensions

H. Ogata
L. I. Hernández Ruíz
K. Yano

Abstract:

The asymptotic normality in higher dimensions of the nonparametric estimator of the transition probabilities of a Markov renewal chain is proved, and is applied to that of other nonparametric estimators for the associated semi-Markov chain.

2010 AMS Mathematics Subject Classification: Primary 62G20; Secondary 62M05, 60F05.

Keywords and phrases: semi-Markov chain, nonparametric estimation, asymptotic normality.

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