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Estimation of the Probability of a Long Time to the First Entrance to a State in a Semi-Markov Model.
NAVAL POSTGRADUATE SCHOOL MONTEREY CA
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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.
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