Non‐Parametric Estimation of the Conditional Distribution of the Interjumping Times for Piecewise‐Deterministic Markov Processes

This paper presents a non‐parametric method for estimating the conditional density associated to the jump rate of a piecewise‐deterministic Markov process. In our framework, the estimation needs only one observation of the process within a long time interval. Our method relies on a generalization of Aalen's multiplicative intensity model. We prove the uniform consistency of our estimator, under some reasonable assumptions related to the primitive characteristics of the process. A simulation study illustrates the behaviour of our estimator.