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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorDuval, Céline
dc.date.accessioned2018-02-20T09:30:12Z
dc.date.available2018-02-20T09:30:12Z
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17426
dc.language.isoenen
dc.subjectwavelet density estimationen
dc.subjectdiscretely observed random processen
dc.subjectcompound Poisson processen
dc.subjectcontinuous time random walken
dc.subjectrenewal reward processen
dc.subject.ddc519en
dc.titleNonparametric estimation of a renewal reward process from discrete dataen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe study the nonparametric estimation of the jump density of a renewal reward process from one discretely observed sample path over [0,T]. We consider regimes where the sampling rate goes to 0 as T tends to infinity. We propose an adaptive wavelet threshold density estimator and study its performance for the Lp loss, over Besov spaces. We achieve minimax rates of convergence for sampling rates that vanish with T at arbitrary polynomial rate. In the same spirit as Buchmann and Grübel (2003) the estimation procedure is based on the inversion of the compounding operator. The inverse has no closed form expression and is approached with a fixed point technique.en
dc.relation.isversionofjnlnameMathematical Methods of Statistics;1066-5307
dc.relation.isversionofjnlvol22en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2013-01
dc.relation.isversionofjnlpages28–56en
dc.relation.isversionofdoi10.3103/S106653071301002Xen
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
hal.author.functionaut


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