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Nonparametric Estimation of the Renewal Function by Empirical Data
Markovitch, Natalia M.; Krieger, Udo R. (2026): Nonparametric Estimation of the Renewal Function by Empirical Data, in: Bamberg: Otto-Friedrich-Universität, S. 175–199.
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Year of publication:
2026
Pages:
Source/Other editions:
Stochastic models : affiliated publication of the Institute for Operations Research and the Management Sciences, London: Taylor & Francis, 2006, Jg. 22, Nr. 2, S. 175–199, ISSN: 1532-6349
Year of first publication:
2006
Language:
English
Abstract:
We consider an estimate of the renewal function (rf) H(t) using a limited number of independent observations of the interarrival times for an unknown interarrival-time distribution (itd). The nonparametric estimate is derived from the rf-representation as a series of distribution functions (dfs) of consecutive arrival times using a finite summation and approximations of the latter by empirical dfs. Due to the limited number of observed interarrival times, the estimate is accurate just for closed time intervals [0, t]. An important aspect is given by the selection of an optimal number of terms k of the finite sum. Here two methods are proposed: (1) an a priori choice of k as function of the sample size l which provides almost surely (a.s.) the uniform convergence of the estimate to the rf for light- and heavy-tailed itds if the time interval is not too large, and (2) a data-dependent selection of k by a bootstrap method. To evaluate both the efficiency of the estimate and the selection methods of k, a Monte Carlo study is performed.
Keywords: ; ;
Bootstrap method
Nonparametric estimate
Renewal function
Type:
Article
Activation date:
April 17, 2026
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https://fis.uni-bamberg.de/handle/uniba/114764