A correction term for the covariance of renewal-reward processes with multivariate rewards
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Publication:889012
DOI10.1016/j.spl.2015.03.005zbMath1333.60189arXiv1408.1530OpenAlexW1984010901WikidataQ62117577 ScholiaQ62117577MaRDI QIDQ889012
Brendan Patch, Thomas Taimre, Yoni Nazarathy
Publication date: 5 November 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.1530
Related Items
On Asymptotic Expansion for Mathematical Expectation of a Renewal--Reward Process with Dependent Components and Heavy-Tailed Interarrival Times ⋮ On the asymptotic behaviour of the covariance function of the rewards of a multivariate renewal-reward process ⋮ On a multivariate renewal-reward process involving time delays and discounting: applications to IBNR processes and infinite server queues
Cites Work
- A second-order approximation for the variance of a renewal reward process
- A CLT for renewal processes with a finite set of interarrival distributions
- Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times
- Stochastic-Process Limits
- Regenerative stochastic processes
- Stopped Random Walks
- Renewal theory in two dimensions: asymptotic results
- Applied Probability and Queues
- Asymptotic Properties of Cumulative Processes
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