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<p>I present in this paper an estimation method of the stationary probability of general state space pure jump Markov processes and their asymptotic properties, consistency and asymptotic normality. As a specific example, I provide the estimation and its properties for finite state-space Markov processes, where the asymptotic variance is given in explicit form using Liptser’s formula.</p>

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Estimation of the Stationary Probability of Continuous-time Jump Markov processes

  • 期刊论文

  • 发表日期：

    2026年3月13日

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  • Faiza Fourati

摘要

I present in this paper an estimation method of the stationary probability of general state space pure jump Markov processes and their asymptotic properties, consistency and asymptotic normality. As a specific example, I provide the estimation and its properties for finite state-space Markov processes, where the asymptotic variance is given in explicit form using Liptser’s formula.