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Asymptotics for increments of stopped renewal processes

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  • Gut, Allan
  • Steinebach, Josef

Abstract

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.

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  • Gut, Allan & Steinebach, Josef, 2010. "Asymptotics for increments of stopped renewal processes," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 558-565, April.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:7-8:p:558-565
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    References listed on IDEAS

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    1. Allan Gut & Josef Steinebach, 2002. "Truncated Sequential Change‐point Detection based on Renewal Counting Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(4), pages 693-719, December.
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