Frees, Edward W. Nonparametric renewal function estimation. (English) Zbl 0625.62026 Ann. Stat. 14, 1366-1378 (1986). 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. Cited in 2 ReviewsCited in 28 Documents MSC: 62G05 Nonparametric estimation 62M99 Inference from stochastic processes 62E20 Asymptotic distribution theory in statistics 60K05 Renewal theory Keywords:U-statistics; reverse martingales; renewal function; consistency; asymptotic normality; warranty analysis × Cite Format Result Cite Review PDF Full Text: DOI