Nonparametric Estimation in Renewal Theory I: The Empirical Renewal Function
Rudolf Grubel and Susan M. Pitts
Source: Ann. Statist. Volume 21, Number 3
(1993), 1431-1451.
Abstract
We introduce a nonparametric estimator for the renewal function and discuss its properties, including consistency, asymptotic normality and asymptotic validity of bootstrap confidence regions. The underlying theme is that stochastic models can be regarded as functionals or nonlinear operators. This view leads to nonparametric estimators in a natural way and statistical properties of the estimators can be related to the local behaviour of the functionals.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aos/1176349266
JSTOR: links.jstor.org
Digital Object Identifier: doi:10.1214/aos/1176349266
Mathematical Reviews number (MathSciNet): MR1241273
