Nonparametric estimation of a renewal reward process from discrete data

DOI10.3103/S106653071301002XzbMath1284.62212arXiv1207.1611MaRDI QIDQ359390

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

continuous time random walk; renewal reward process; compound Poisson process; discretely observed random process; wavelet density estimation

Mathematics Subject Classification ID

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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