Regenerative Simulation for Estimating Extreme Values
birth-death processesqueuecomparison of methodsregenerative processesextreme value estimationregression methodNumerical resultsdiscrete event simulationdistribution of extreme values
General nonlinear regression (62J02) Markov processes: estimation; hidden Markov models (62M05) Probabilistic methods, stochastic differential equations (65C99) Probabilistic models, generic numerical methods in probability and statistics (65C20) Queueing theory (aspects of probability theory) (60K25) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)
- On extreme values of some regenerative processes
- On regenerative estimation of extremal index in queueing systems
- Estimation of the rate of convergence in the limit theorem for extreme values of regenerative processes
- Maximum values in queueing processes
- Estimating tail probabilities in queues via extremal statistics
- Estimating tail probabilities in queues via extremal statistics
- Multivariate Estimation of Conditional Performance Measures in Regenerative Simulation
- Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions
- On regenerative estimation of extremal index in queueing systems
- Modelling of extremal events in insurance and finance
- On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures
- A probabilistic analysis of the trading the line strategy
- Distributional Properties of CUSUM Stopping Times
- Estimation of the rate of convergence in the limit theorem for extreme values of regenerative processes
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