Hypothesis testing for a Lévy-driven storage system by Poisson sampling

DOI10.1016/J.SPA.2020.11.005MaRDI QIDQ1994908zbMATH OpenOpenAlexFDO

Authors M. R. H. Mandjes, Liron Ravner

Publication date 18 February 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.02891

zbMATH Keywords

convergence to stationarityhypothesis testingLévy-driven storage systemPoisson sampling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Nonparametric hypothesis testing (62G10)

Abstract: This paper focuses on hypothesis testing for the input of a L'evy-driven storage system by sampling of the storage level. As the likelihood is not explicit we propose two tests that rely on transformation of the data. The first approach uses i.i.d. `quasi-busy-periods' between observations of zero workload. The distribution of the duration of quasi-busy-periods is determined. The second method is a conditional likelihood ratio test based on the Bernoulli events of observing a zero or positive workload, conditional on the previous workload. Performance analysis is presented for both tests along with speed-of-convergence results, that are of independent interest.

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Cited in

(5)

• A survey of parameter and state estimation in queues
• Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
• A decomposition for Lévy processes inspected at Poisson moments
• Input estimation from discrete workload observations in a Lévy-driven storage system
• Nonparametric estimation of the job-size distribution for an M/G/1 queue with Poisson sampling

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