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PARAMETRIC CONFIDENCE INTERVALS FOR THE RENEWAL FUNCTION VIA COUPLED INTEGRAL EQUATIONS

By Michael Tortorella and Steve G. From

Abstract

In this paper parametric inference for the renewal function is considered. An algorithm is presented for computing parametric confidence intervals for the renewal function. The partial derivatives needed in this algorithm are obtained by solving a pair of coupled integral equations. The validity of asymptotic confidence intervals is checked via numerical experiments. Some extensions of this algorithm are discussed. Key Words: Integral equation, maximum likelihood estimation, parametric confidence interval, renewal functio

Year: 2004
OAI identifier: oai:CiteSeerX.psu:10.1.1.182.7024
Provided by: CiteSeerX
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