Nonparametric Renewal Function Estimation
The Annals of Statistics · 1986 · Volume 14 · Issue 4
Abstract
The renewal function is a basic tool used in many probabilistic models and sequential analysis. Based on a random sample of size $n$, a nonparametric estimator of the renewal function is introduced. Asymptotic properties of the estimator such as consistency and asymptotic normality are developed. A discussion of an application to warranty analysis is also provided.
Keywords
$U$-statistics, 60K05, 62G05, 62M99, reverse martingales, warranty analysis
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