Nonparametric estimation of a renewal reward process from discrete data

DOI10.3103/S106653071301002XMaRDI QIDQ359390zbMATH OpenFDO

Authors Céline Duval

Publication date 12 August 2013

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.1611

zbMATH Keywords

compound Poisson processcontinuous time random walkdiscretely observed random processrenewal reward processwavelet density estimation

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov renewal processes, semi-Markov processes (60K15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We study the nonparametric estimation of the jump density of a renewal reward process from one discretely observed sample path over [0,T]. We consider the regime when the sampling rate goes to 0. The main difficulty is that a renewal reward process is not a Levy process: the increments are non stationary and dependent. We propose an adaptive wavelet threshold density estimator and study its performance for the Lp loss over Besov spaces. We achieve minimax rates of convergence for sampling rates that vanish with T at polynomial rate. In the same spirit as Buchmann and Gr"ubel (2003) and Duval (2012), the estimation procedure is based on the inversion of the compounding operator. The inverse has no closed form expression and is approached with a fixed point technique.

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Cited in

(5)

• Density estimation for compound Poisson processes from discrete data
• Nonparametric density estimation in compound Poisson processes using convolution power estimators
• Statistical inference for renewal processes
• A note on a fixed-point method for deconvolution
• Efficient nonparametric inference for discretely observed compound Poisson processes

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