Nonparametric estimation of the expected accumulated reward for semi-Markov chains
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.
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2009 |
| País: | España |
| Institución: | Universitat Politècnica de Catalunya (UPC) |
| Repositorio: | UPCommons. Portal del coneixement obert de la UPC |
| Idioma: | inglés |
| OAI Identifier: | oai:upcommons.upc.edu:2099/8948 |
| Acceso en línea: | https://hdl.handle.net/2099/8948 |
| Access Level: | acceso abierto |
| Palabra clave: | Probabilities Mathematical statistics Discrete semi-Markov processes Empirical estimators Asymptotic properties Quality of life Probabilitats Estadística matemàtica Classificació AMS::60 Probability theory and stochastic processes::60K Special processes Classificació AMS::62 Statistics::62M Inference from stochastic processes Classificació AMS::62 Statistics::62G Nonparametric inference Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica |
| Sumario: | 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. |
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