Estimation of the probability of a long time to the first entrance to a state in a semi-Markov model
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Authors
Jacobs, Patricia A.
Subjects
Estimation of the survivor function of a first passage time;
semi-Markov process
empirical moment generating function
asymptotic exponential ity
strong law
central limit theorem;
empirical moment generating function
asymptotic exponential ity
strong law
central limit theorem;
Advisors
Date of Issue
1987-09
Date
1987-09
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
Abstract
The problem of estimating the log survivor function for a fixed time t of a first passage time for a semimarkov process is considered. A nonparametric estimator based on an exponential approximation to the survivor function is introduced and its asymptotic properties are studied. Small sample behavior of this estimator is studied using simulation. Keywords: Markov process; Asymptotic exponentiality; Strong law; Central limit theorem
Type
Technical Report
Description
Series/Report No
Department
Identifiers
NPS Report Number
NPS55-87-012
Sponsors
Office of Naval Research
Funder
Format
Citation
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.