TY - JOUR
T1 - The difference of two renewal processes
T2 - level crossing and the infimum
AU - Kroese, D.P.
PY - 1992
Y1 - 1992
N2 - We consider the difference process N of two independent renewal (counting) processes. Second-order approximations to the distribution function of the level crossing time are given. Direct application of the second-order approximation is complicated by the occurrence of an (in general) unknown term E[Mtilde], which denotes the expected minimum of the stationary version of N. However, this number is obtained for a wide class of processes N, using matrix-geometric techniques. Numerical experiments have been carried out, in which the new approximations were compared to simulation, first-order and/or exact results. These results confirm that the second-order approximations are considerably better than the (known) first-order ones. We consider the difference process N of two independent renewal (counting) processes. Second-order approximations to the distribution function of the level crossing time are given. Direct application of the second-order approximation is complicated by the occurrence of an (in general) unknown term E[Mtilde], which denotes the expected minimum of the stationary version of N. However, this number is obtained for a wide class of processes N, using matrix-geometric techniques. Numerical experiments have been carried out, in which the new approximations were compared to simulation, first-order and/or exact results. These results confirm that the second-order approximations are considerably better than the (known) first-order ones.
AB - We consider the difference process N of two independent renewal (counting) processes. Second-order approximations to the distribution function of the level crossing time are given. Direct application of the second-order approximation is complicated by the occurrence of an (in general) unknown term E[Mtilde], which denotes the expected minimum of the stationary version of N. However, this number is obtained for a wide class of processes N, using matrix-geometric techniques. Numerical experiments have been carried out, in which the new approximations were compared to simulation, first-order and/or exact results. These results confirm that the second-order approximations are considerably better than the (known) first-order ones. We consider the difference process N of two independent renewal (counting) processes. Second-order approximations to the distribution function of the level crossing time are given. Direct application of the second-order approximation is complicated by the occurrence of an (in general) unknown term E[Mtilde], which denotes the expected minimum of the stationary version of N. However, this number is obtained for a wide class of processes N, using matrix-geometric techniques. Numerical experiments have been carried out, in which the new approximations were compared to simulation, first-order and/or exact results. These results confirm that the second-order approximations are considerably better than the (known) first-order ones.
KW - Renewal processes
KW - Boundary crossing
KW - Second-order approximation
KW - PH-renewal processes
KW - Matrix-geometric solutions
U2 - 10.1080/15326349208807222
DO - 10.1080/15326349208807222
M3 - Article
SN - 0882-0287
VL - 8
SP - 221
EP - 243
JO - Communications in statistics : Stochastic models
JF - Communications in statistics : Stochastic models
IS - 2
ER -