On a weighted embedding for generalized pontograms. (Q1877512)

Let \(X_1,\dots , X_k\) be a sequence of i.i.d random variables with mean \(\frac {1}{\lambda } > 0\) and finite variance \(\sigma ^2 >0.\) Let \(N(t)\) be the renewal process defined by \( N(s)+1 = \min \{k: S_k > s \}, \) where \(S_k = X_1+\dots + X_k.\) The generalized pontogram is defined by \[ K_n(t) = \frac {1}{\sqrt n} [N(nt) - tN(n)],\qquad 0\leq t \leq 1. \] Weighted embedding for \(K_n(t) \) is established under the assumption of a finite moment generating function. Asymptotics for \(K_n(t) \), which can be used for detecting changes in the intensity of the renewal process, is developed both in \(L_p\)-norm and sup-norm.