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Asymptotics for increments of stopped renewal processes
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Mathematical Statistics.
2010 (English)In: Statistics and Probability Letters, ISSN 0167-7152, Vol. 80, no 7-8, 558-565 p.Article in journal (Refereed) Published
Abstract [en]

Motivated by our earlier work on change-point analysis we prove a number of limit theorems for increments of renewal counting processes, or the corresponding first passage times. The starting point of the increments is deterministic as well as random, a typical example being the first stopping time to detect a change-point of some (continuously) observed process.

Place, publisher, year, edition, pages
2010. Vol. 80, no 7-8, 558-565 p.
National Category
Mathematics
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URN: urn:nbn:se:uu:diva-119646DOI: 10.1016/j.spl.2009.12.010ISI: 000276117900005OAI: oai:DiVA.org:uu-119646DiVA: diva2:300590
Available from: 2010-02-26 Created: 2010-02-26 Last updated: 2011-03-04Bibliographically approved

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Gut, Allan

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