ESTIMATION OF THE STATIONARY DISTRIBUTION OF A SEMI-MARKOV CHAIN

This article is concerned with the estimation of the stationary distribution of a discretetimesemi-Markov process. After briefly presenting the discrete-time semi-Markov setting, wepropose an estimator of the associated stationary distribution. The main results concern theasymptotic properties of this estimator, as the sample size becomes large. A numerical exampleillustrates the asymptotic properties of the estimators.