Estimating the Renewal Function When the Second Moment Is Infinite

DOI10.1080/15326340601141851MaRDI QIDQ3444700zbMATH OpenOpenAlexFDO

Authors Youri Davydov, Ričardas Zitikis, Mark Bebbington

Publication date 4 June 2007

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326340601141851

zbMATH Keywords

confidence bandconsistencyempirical processlimit distributionrenewal functionstable law

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Renewal theory (60K05) Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

Recommendations

• Resampling estimators of the renewal function
• Nonparametric estimation in renewal theory. I: The empirical renewal function
• Nonparametric renewal function estimation
• Comparison of Nonparametric Estimators for the Renewal Function
• Nonparametric Estimation of the Renewal Function by Empirical Data

Cites work

• Convergence to a stable distribution via order statistics
• Empirical Testing Of The Infinite Source Poisson Data Traffic Model
• Heavy tails and long range dependence in on/off processes and associated fluid models
• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• Nonparametric estimation in renewal theory. I: The empirical renewal function
• Nonparametric estimation of long-tailed density functions and its application to the analysis of World Wide Web traffic
• Nonparametric renewal function estimation
• Renewal theorem in the case of an infinite variance
• Second-Order Renewal Theorem in the Finite-Means Case
• Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
• The Modelling of Ethernet Data and of Signals that are Heavy‐tailed with Infinite Variance^*

Cited in

(3)

• POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks
• Estimators of the moments for the inventory model of type \((s,S)\)
• Derivative of renewal density with infinite moment with \(\alpha\in(0,1/2]\)

This page was built for publication: Estimating the Renewal Function When the Second Moment Is Infinite

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3444700)