A correction term for the covariance of renewal-reward processes with multivariate rewards

DOI10.1016/J.SPL.2015.03.005zbMATH Open1333.60189arXiv1408.1530OpenAlexW1984010901WikidataQ62117577 ScholiaQ62117577MaRDI QIDQ889012FDOQ889012

Brendan Patch, Thomas Taimre, Yoni Nazarathy

Publication date: 5 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We consider a renewal-reward process with multivariate rewards. Such a process is constructed from an i.i.d. sequence of time periods, to each of which there is associated a multivariate reward vector. The rewards in each time period may depend on each other and on the period length, but not on the other time periods. Rewards are accumulated to form a vector valued process that exhibits jumps in all coordinates simultaneously, only at renewal epochs. We derive an asymptotically exact expression for the covariance function (over time) of the rewards, which is used to refine a central limit theorem for the vector of rewards. As illustrated by a numerical example, this refinement can yield improved accuracy, especially for moderate time-horizons.

Full work available at URL: https://arxiv.org/abs/1408.1530

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zbMATH Keywords

central limit theoremrenewal-reward processescovariance time curvemultivariate rewards

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Renewal theory (60K05)

Cites Work

• Applied Probability and Queues
• Renewal theory in two dimensions: asymptotic results
• Stochastic-Process Limits
• Regenerative stochastic processes
• Stopped Random Walks
• Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times
• Asymptotic Properties of Cumulative Processes
• A second-order approximation for the variance of a renewal reward process
• A CLT for renewal processes with a finite set of interarrival distributions

Cited In (4)

• Asymptotic expansions for the stationary moments of a modified renewal-reward process with dependent components
• On Asymptotic Expansion for Mathematical Expectation of a Renewal--Reward Process with Dependent Components and Heavy-Tailed Interarrival Times
• On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues
• On the asymptotic behaviour of the covariance function of the rewards of a multivariate renewal-reward process

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