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

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

zbMATH Keywords

central limit theoremrenewal-reward processescovariance time curvemultivariate rewards

Mathematics Subject Classification ID

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

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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