On extreme value asymptotics for increments of renewal processes

DOI10.1016/0378-3758(94)00079-4zbMath0831.60060OpenAlexW1975938979WikidataQ126382551 ScholiaQ126382551MaRDI QIDQ1890887

Vera R. Eastwood, Josef G. Steinebach

Publication date: 25 January 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(94)00079-4

zbMATH Keywords

renewal counting processMonte Carlo estimatesincrements of renewal processesempirical intensitiestesting change in intensity

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Functional limit theorems; invariance principles (60F17) Renewal theory (60K05)

Related Items (11)

Detecting changes in a multivariate renewal process ⋮ The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points ⋮ Multiscale change point detection via gradual bandwidth adjustment in moving sum processes ⋮ Block records and maxima of the increments of the Wiener process ⋮ Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method ⋮ Variance Estimation Based on Invariance Principles ⋮ A multiple filter test for the detection of rate changes in renewal processes with varying variance ⋮ Multi-scale detection of rate changes in spike trains with weak dependencies ⋮ Truncated Sequential Change‐point Detection based on Renewal Counting Processes ⋮ Unnamed Item ⋮ First passage time for some stationary processes

Cites Work

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• On a weighted embedding for pontograms
• Extremes and related properties of random sequences and processes
• Invariance principles for renewal processes
• A new class of strongly consistent variance estimators for steady-state simulations
• Some recent developments concerning asymptotic distributions of pontograms
• Asymptotic distributions of pontograms
• Alignments in two-dimensional random sets of points

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