Regenerative Simulation for Estimating Extreme Values
DOI10.1287/OPRE.31.6.1145zbMATH Open0532.65098OpenAlexW2078046932MaRDI QIDQ3314941FDOQ3314941
Authors: Donald L. Iglehart, Mark L. Stone 
Publication date: 1983
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/83e107d82064ed18c7d98f86ae4a7d874b89abe6
Recommendations
- 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
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)
Cited In (9)
- 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
This page was built for publication: Regenerative Simulation for Estimating Extreme Values
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3314941)
