Some problems in nonparametric inference for the stress release process related to the local time

被引：1

作者：

Fujii, Takayuki ^{[1
]}

Nishiyama, Yoichi ^{[2
]}

机构：

[1] Osaka Univ, Ctr Study Finance & Insurance, Toyonaka, Osaka 5608531, Japan

[2] Inst Stat Math, Tachikawa, Tokyo 1908562, Japan

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 2012年 / 64卷 / 05期

基金：

日本学术振兴会;

关键词：

Stress release process; Local time; Stationary density; Uniform consistency; Goodness of fit test;

D O I：

10.1007/s10463-011-0344-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper is concerned with nonparametric statistics for the stress release process. We propose the local time estimator (LTE) for the stationary density and show that it is unbiased and uniformly consistent. The LTE is used in constructing an estimator for the intensity function. A goodness of fit test for the intensity function is also presented. In these studies, the local time of the stress release process plays an important role.

引用

页码：991 / 1007

页数：17

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