On universal estimates for binary renewal processes

DOI10.1214/07-AAP512zbMATH Open1158.62053arXiv0811.2076MaRDI QIDQ957527FDOQ957527

Authors: Gusztáv Morvai, Benjamin Weiss 

Publication date: 27 November 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: A binary renewal process is a stochastic process $X_n$ taking values in $0,1$ where the lengths of the runs of 1's between successive zeros are independent. After observing $X_0,X_1,\mathrm{...},X_n$ one would like to predict the future behavior, and the problem of universal estimators is to do so without any prior knowledge of the distribution. We prove a variety of results of this type, including universal estimates for the expected time to renewal as well as estimates for the conditional distribution of the time to renewal. Some of our results require a moment condition on the time to renewal and we show by an explicit construction how some moment condition is necessary.

Full work available at URL: https://arxiv.org/abs/0811.2076

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zbMATH Keywords

predictionrenewal theoryestimatebinary renewal process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Order statistics; empirical distribution functions (62G30) Queueing theory (aspects of probability theory) (60K25) Optimal stopping in statistics (62L15) Renewal theory (60K05)

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Cited In (6)

• Universal redundancy rates for the class of B-processes do not exist
• Inferring the residual waiting time for binary stationary time series
• Universal rates for estimating the residual waiting time in an intermittent way.
• On universal algorithms for classifying and predicting stationary processes
• The factorization method applied to cracks with impedance boundary conditions
• A versatile scheme for predicting renewal times.

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