Nonlinear Markov renewal theory with statistical applications

DOI10.1214/AOP/1176989804MaRDI QIDQ1196938zbMATH OpenOpenAlexFDO

Authors Vincent F. Melfi

Publication date 16 January 1993

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176989804

zbMATH Keywords

excess over the boundaryMarkov random walknonlinear renewal theoremovershootsrepeated significance test

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Renewal theory (60K05) Markov renewal processes, semi-Markov processes (60K15) Sequential statistical design (62L05)

Review text

Let \(X_ 1,X_ 2,\dots\) be independent and identically distributed random variables with partial sums \(S_ n=\sum_{i=1}^ n x_ i\). Put \(\tau_ a=\inf\{n\geq 1\): \(S_ n>a\}\). A classical renewal theory result concerns the convergence in distribution of the overshoots \(S_{\tau_ a}-a\) as \(a\to\infty\). Two main generalizations exist: one to the case where the \(X_ i\)'s may be dependent, the other allowing for disturbances \(\xi_ n\) in which case the overshoots of \(S_ n+\xi_ n\) are considered. Results are obtained for a model that combines these two types of generalization.

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Cited in

(25)

• A nonlinear renewal theory
• Nonlinear renewal theory for Markov random walks
• Large excursions and conditioned laws for recursive sequences generated by random matrices
• Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
• Poisson equation, moment inequalities and quick convergence for Markov random walks.
• A renewal approach to Markovian \(U\)-statistics
• On estimation of expectation of simultaneous renewal time of time-inhomogeneous Markov chains using dominating sequence
• Nonlinear expectations and nonlinear Markov chains
• The fixed points of the multivariate smoothing transform
• On the nonlinear renewal theorem
• Markov renewal theory for stationary \(m\)-block factors
• Markov Renewal Theory for Stationary (m + 1)-Block Factors: First Passage Time and Overshoot
• On non-singular Markov renewal processes with an application to a growth–catastrophe model
• Nonlinear renewal theory for lattice markov random walk
• Limit theorems for first-passage times in non–linear markov renewal theory
• Non-linear Renewal Theory with Stationary Perturbations
• The Markov Oscillation Problem in Discrete Time
• On asymptotic behavior of the mean value of the family of the first exit time of random walk described by a nonlinear function of first order autoregression process \((AR (1))\)
• scientific article; zbMATH DE number 7619246 (Why is no real title available?)
• On a generalization of the stationary excess operator
• scientific article; zbMATH DE number 7638799 (Why is no real title available?)
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• On geometric recurrence for time-inhomogeneous autoregression
• On the first passage time of the parabolic boundary by the Markov random walk
• Limit theorems for the Markov random walks describes by the generalization of autoregressive process of order one

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