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

Takayuki Fujii () and Yoichi Nishiyama ()

Annals of the Institute of Statistical Mathematics, 2012, vol. 64, issue 5, 1007 pages

Abstract: 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. Copyright The Institute of Statistical Mathematics, Tokyo 2012

Keywords: Stress release process; Local time; Stationary density; Uniform consistency; Goodness of fit test (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10463-011-0344-7

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