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

DOI10.1016/J.SPA.2020.11.005zbMATH Open1475.60191arXiv1912.02891OpenAlexW3106844048MaRDI QIDQ1994908FDOQ1994908

Authors: M. R. H. Mandjes, Liron Ravner 

Publication date: 18 February 2021

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

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.

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

Recommendations

• Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process
• Quasi-stationary workload in a Lévy-driven storage system
• Sequential testing problems for Lévy processes
• Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
• The test: does the input flow intensity grows in queuing systems?

zbMATH Keywords

hypothesis testingPoisson samplingconvergence to stationarityLévy-driven storage system

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Applied Probability and Queues
• Markov chains and stochastic stability
• Extremes in random fields. A theory and its applications
• On distribution tail of the maximum of a random walk
• Statistical analysis of queueing systems
• A Lévy Process Reflected at a Poisson Age Process
• Exponential ergodicity in Markovian queueing and dam models
• A Statistical Technique for the Control of Traffic Intensity in the Queuing Systems M/G/1 and GI/M/1
• Control of traffic intensity in a queue - a method based on SPRT
• Queues and Lévy fluctuation theory
• Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process
• Numerical techniques in Lévy fluctuation theory
• Transient analysis of one-sided Lévy-driven queues
• On a large sample test for the traffic intensity in GI|G|s queue
• Estimating Customer and Time Averages

Cited In (4)

• A decomposition for Lévy processes inspected at Poisson moments
• Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
• A survey of parameter and state estimation in queues
• Input estimation from discrete workload observations in a Lévy-driven storage system

This page was built for publication: Hypothesis testing for a Lévy-driven storage system by Poisson sampling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1994908)