Nonparametric estimation of the expected accumulated reward for semi-Markov chains

• Autores: Guglielmo D´Amico
• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 33, Nº. 2, 2009, págs. 159-170
• Idioma: inglés
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• Resumen

  • In this paper a nonparametric estimator of the expected value of a discounted semi-Markov reward chain is proposed. Its asymptotic properties are established and as a consequence of the asymptotic normality the confidence sets are obtained. An application in quality of life modelling is described.

    Keywords: Discrete semi-Markov processes, empirical estimators, asymptotic properties, quality of life.