Nonparametric estimation for a class of piecewise-deterministic Markov processes

Abstract

In this paper we study nonparametric estimation problems for a class of piecewise-deterministic Markov processes (PDMPs). Borovkov and Last (2008) proved a version of Rice's formula for PDMPs, which explains the relation between the stationary density and the level crossing intensity. From a statistical point of view, their result suggests a methodology for estimating the stationary density from observations of a sample path of PDMPs. First, we introduce the local time related to the level crossings and construct the local-time estimator for the stationary density, which is unbiased and uniformly consistent. Secondly, we investigate other estimation problems for the jump intensity and the conditional jump size distribution.