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Journal Articles Statistica Sinica Year : 2013

Nonparametric estimation of the intensity function of a recurrent event process

Olivier Bouaziz
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Fabienne Comte

Abstract

In this paper, we consider the problem of estimating the intensity of a recurrent event process observed under a standard censoring scheme. We first propose a collection of kernel estimators for which we provide MSE and MISE bounds. Then, we describe and study an adaptive procedure of bandwidth selection, in the spirit of Goldenshluger and Lepski~(2010) and we prove an oracle type bound for both the MSE and the MISE of the final estimator. The method is illustrated by simulation experiments.
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Dates and versions

hal-00599714 , version 1 (10-06-2011)

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Olivier Bouaziz, Fabienne Comte, Agathe Guilloux. Nonparametric estimation of the intensity function of a recurrent event process. Statistica Sinica, 2013, 23 (2), pp.635-665. ⟨10.5705/ss.2011.137⟩. ⟨hal-00599714⟩
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