Smoothed nonparametric estimation in window censored semi-Markov processes

Consider a process that jumps among a finite set of states, with random times spent in between. In semi-Markov processes transitions follow a Markov chain and the sojourn distributions depend only on the connecting states. Suppose that the process started far in the past, achieving stationary. We consider non-parametric estimation by modelling the log-hazard of the sojourn times through linear splines; and we obtain maximum penalized likelihood estimators when data consist of several i.i.d. windows. We prove consistency using Grenander''s method of sieves. [Copyright &y& Elsevier]