Hypothesis testing for a Levy-driven storage system by Poisson sampling

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:133

Article

Mandjes, M.^1,2,3  Ravner, L.^1,4 

[1] Univ Amsterdam, Korteweg de Vries Inst Math, Sci Pk 904, NL-1098 XH Amsterdam, Netherlands

[2] Eindhoven Univ Technol, EURANDOM, Eindhoven, Netherlands

[3] Univ Amsterdam, Fac Econ & Business, Amsterdam Business Sch, Amsterdam, Netherlands

[4] Eindhoven Univ Technol, Dept Math & Comp Sci, POB 513, NL-5600 MB Eindhoven, Netherlands

关键词: Levy-driven storage system;    Poisson sampling;    Hypothesis testing;    Convergence to stationarity;   

DOI  :  10.1016/j.spa.2020.11.005

来源: Elsevier

【 摘 要 】

This paper focuses on hypothesis testing for the input of a Levy-driven storage system by sampling of the storage level. As the likelihood is not explicit we propose two tests that rely on transformation of the data. The first approach uses i.i.d. 'quasi-busy-periods' between observations of zero workload. The distribution of the duration of quasi-busy-periods is determined. The second method is a conditional likelihood ratio test based on the Bernoulli events of observing a zero or positive workload, conditional on the previous workload. Performance analysis is presented for both tests along with speed-of-convergence results, that are of independent interest. (C) 2020 Elsevier B.V. All rights reserved.

【 授权许可】

Free