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
CitationD'Amico, Guglielmo. Nonparametric estimation of the expected accumulated reward for semi-Markov chains. "SORT", 2009, vol. 33, núm. 2, p. 159-170.