Author： Georgiadis S. Limnios N.
Publisher： Taylor & Francis Ltd
ISSN： 1048-5252
Source： Journal of Nonparametric Statistics, Vol.24, Iss.4, 2012-12, pp. : 1007-1017
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Abstract
In this article, we consider the empirical estimator of the kernel of a semi-Markov process on continuous time with finite state space. We obtain a functional central limit theorem for this estimator in multidimensional form. Next, we present the corresponding theorem for the empirical estimator of the conditional sojourn-time distribution function. The proofs of our results are based on semi-martingales.
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