Nonparametric estimation of a renewal reward process from discrete data

Abstract: We study the nonparametric estimation of the jump density of a renewal reward process from one discretely observed sample path over [0,T]. We consider the regime when the sampling rate goes to 0. The main difficulty is that a renewal reward process is not a Levy process: the increments are non stationary and dependent. We propose an adaptive wavelet threshold density estimator and study its performance for the Lp loss over Besov spaces. We achieve minimax rates of convergence for sampling rates that vanish with T at polynomial rate. In the same spirit as Buchmann and Gr\"ubel (2003) and Duval (2012), the estimation procedure is based on the inversion of the compounding operator. The inverse has no closed form expression and is approached with a fixed point technique.