Reliability inference for semi-Markov models based on multiple trajectories

RESUMO

We develop nonparametric inference for reliability indicators of discrete-time semi-Markov systems from independent trajectories observed over a common fixed horizon. Augmenting the physical state by the backward recurrence time yields a finite coupled Markov representation on the observed age range. We distinguish the resulting age-restricted failure-or-exit time from calendar truncation, since these two finite-horizon quantities coincide only in special cases. The framework covers restricted factorial moments and moment characteristics, calendar-truncated failure-time summaries, and the discrete-time intensity of the hitting time. Under explicit row-exposure conditions, strong consistency and joint asymptotic normality are established for the empirical initial law, the required transition rows and the corresponding plug-in functionals. The Gaussian random-matrix representation gives pointwise and joint covariance formulas, simultaneous confidence envelopes, Wald procedures for linear summaries, and curvature-adjusted Gaussian approximations. Restriction diagnostics and a target-specific horizon-selection rule based on exposure, boundary interaction and nested-horizon stability are developed separately. Numerical experiments assess the inferential formulas and the diagnostics, while a complete-case illustration from the European Group for Blood and Marrow Transplantation reports calendar-truncated failure-time summaries and finite-dimensional hitting intensities.