Nonparametric estimation of a renewal reward process from discrete data
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Publication:359390
DOI10.3103/S106653071301002XzbMath1284.62212arXiv1207.1611MaRDI QIDQ359390
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
continuous time random walk; renewal reward process; compound Poisson process; discretely observed random process; wavelet density estimation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
60G50: Sums of independent random variables; random walks
60K15: Markov renewal processes, semi-Markov processes
Related Items
Statistical Inference for Renewal Processes, A note on a fixed-point method for deconvolution, Efficient nonparametric inference for discretely observed compound Poisson processes, Nonparametric density estimation in compound Poisson processes using convolution power estimators
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