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

DOI10.1016/J.SPL.2015.03.005MaRDI QIDQ889012zbMATH OpenOpenAlexWikidataFDO

Authors Brendan Patch, Yoni Nazarathy, Thomas Taimre

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

zbMATH Keywords

central limit theoremrenewal-reward processescovariance time curvemultivariate rewards

Mathematics Subject Classification ID

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

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.

Recommendations

• On the asymptotic behaviour of the covariance function of the rewards of a multivariate renewal-reward process
• Asymptotic behavior of multivariate reward processes with nonlinear reward functions
• On the asymptotic distribution of multivariate renewal processes
• scientific article; zbMATH DE number 3870369
• A method for computing the autocovariance of renewal processes

Cites work

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

Cited in

(4)

• 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
• On Asymptotic Expansion for Mathematical Expectation of a Renewal--Reward Process with Dependent Components and Heavy-Tailed Interarrival Times
• Asymptotic expansions for the stationary moments of a modified renewal-reward process with dependent components

This page was built for publication: A correction term for the covariance of renewal-reward processes with multivariate rewards

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q889012)