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Nonparametric renewal function estimation. (English) Zbl 0625.62026

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.

MSC:

62G05 Nonparametric estimation
62M99 Inference from stochastic processes
62E20 Asymptotic distribution theory in statistics
60K05 Renewal theory
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