Nonparametric Estimation in Renewal Theory 1: The Empirical Renewal Function.

摘要

The authors introduce a nonparametric estimator for the renewal function and discuss its properties, including consistency, asymptotic normality, asymptotic validity of bootstrap confidence regions and associated implementation methods. 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 behavior of the functionals. The implementation method is based on the Fast Fourier Transform algorithm. (Copyright (c) 1991 by Faculty of Technical Mathematics and Informatics, Delft, The Netherlands.)