ESTIMATION OF THE STATIONARY DISTRIBUTION OF A SEMI-MARKOV CHAIN
This article is concerned with the estimation of the stationary distribution of a discretetime semi-Markov process. After briefly presenting the discrete-time semi-Markov setting, we propose an estimator of the associated stationary distribution. The main results concern the asymptotic properties of this estimator, as the sample size becomes large. A numerical example illustrates the asymptotic properties of the estimators.