Options
Nonparametric Estimation of the Renewal Function by Empirical Data
Markovitch, Natalia M.; Krieger, Udo R. (2006): Nonparametric Estimation of the Renewal Function by Empirical Data, in: Stochastic models : affiliated publication of the Institute for Operations Research and the Management Sciences, London: Taylor & Francis, Jg. 22, Nr. 2, S. 175–199, doi: 10.1080/15326340600648922.
Faculty/Chair:
Author:
Title of the Journal:
Stochastic models : affiliated publication of the Institute for Operations Research and the Management Sciences
ISSN:
1532-6349
Publisher Information:
Year of publication:
2006
Volume:
22
Issue:
2
Pages:
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:
September 24, 2014
Versioning
Question on publication
Permalink
https://fis.uni-bamberg.de/handle/uniba/14867