ESTIMATING THE RENEWAL FUNCTION WHEN THE SECOND MOMENT IS INFINITE

Abdelhakim NECIR, Abdelaziz RASSOUL, Djamel MERAGHNI

Résumé


Abstract:
We consider an estimator of the renewal function, based on a random sample sufficiently
large when inter-arrival time distribution F is heavy tailed distribution function. We are
using the POT method for approximated F by GPD function and estimator of Johansson of
the mean, and we established its limitting behaviour and its normality asymptotic.

Mots-clés


Extremes values; GPD function; Heavy tails; Renewal function.

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