Estimation of the probability of a long time to the first entrance to a state in a semi-Markov model
Jacobs, Patricia A.
MetadataShow full item record
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