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Pré-Publication, Document De Travail Année : 2019

Hypotheses testing and posterior concentration rates for semi-Markov processes

V S Barbu
I. Votsi

Résumé

In this paper, we adopt a nonparametric Bayesian approach and investigate the asymptotic behavior of the posterior distribution in continuous time and general state space semi-Markov processes. In particular, we obtain posterior concentration rates for semi-Markov kernels. For the purposes of this study, we construct robust statistical tests between Hellinger balls around semi-Markov kernels and present some specifications to particular cases, including discrete-time semi-Markov processes and finite state space Markov processes. The objective of this paper is to provide sufficient conditions on priors and semi-Markov kernels that enable us to establish posterior concentration rates.
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Dates et versions

hal-02153384 , version 1 (12-06-2019)

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V S Barbu, Ghislaine Gayraud, Nikolaos Limnios, I. Votsi. Hypotheses testing and posterior concentration rates for semi-Markov processes. 2019. ⟨hal-02153384⟩
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