On the asymptotic behaviour of the covariance function of the rewards of a multivariate renewal-reward process

被引：5

作者：

Aliyev, Rovshan ^{[1
,2
]}

Bayramov, Veli ^{[1
]}

机构：

[1] Baku State Univ, Dept Operat Res & Probabil Theory, Baku, Azerbaijan

[2] Azerbaijan Natl Acad Sci, Inst Control Syst, Baku, Azerbaijan

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 127卷

关键词：

Renewal process; Renewal function; Renewal-reward process; Second-order approximation; Multivariate rewards; MARKOVIAN RANDOM-WALK; MOMENTS;

D O I：

10.1016/j.spl.2017.04.011

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this study, a renewal -reward process with multivariate rewards is investigated and an asymptotic expansion for the covariance function of the rewards is derived. The remainder term of the result in Patch et al. (2015) is sharpened from the o (1) to o (t(-k)). Moreover, asymptotic expansions as t -> infinity with the remainder term o (t(-k)) for the mathematical expectation and variance of the renewal reward process also are obtained. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：138 / 149

页数：12

共 26 条

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