Resumen de Nonparametric estimation of the expected accumulated reward for semi-Markov chains

Guglielmo D´Amico

• In this paper a nonparametric estimator of the expected value of a discounted semi-Markov reward chain is proposed. Its asymptotic properties are established and as a consequence of the asymptotic normality the confidence sets are obtained. An application in quality of life modelling is described.

  Keywords: Discrete semi-Markov processes, empirical estimators, asymptotic properties, quality of life.