具有多个关闭状态的开关进程的占用时间

IF 0.7 Q3 STATISTICS & PROBABILITY

Modern Stochastics-Theory and Applications Pub Date : 2019-09-29 DOI:10.15559/22-vmsta210

Chaoran Hu, V. Pozdnyakov, Jun Yan

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引用次数: 0

摘要

在经济学、物理学和工程学等许多应用中，都需要对具有多个非状态的马尔可夫更新开关过程进行建模。表征一个特定的非稳态边缘或两个非稳态联合的占用时间对于理解这些过程至关重要。导出了非状态占用时间的精确边际分布和联合分布。理论结果在数值模拟研究中得到了验证。为了简化公式的可能性，考虑了所有保持时间均为lsamvy分布的特殊情况。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On occupation time for on-off processes with multiple off-states

The need to model a Markov renewal on-off process with multiple off-states arise in many applications such as economics, physics, and engineering. Characterization of the occupation time of one specific off-state marginally or two off-states jointly is crucial to understand such processes. The exact marginal and joint distributions of the off-state occupation times are derived. The theoretical results are confirmed numerically in a simulation study. A special case when all holding times have Lévy distribution is considered for the possibility of simplification of the formulas.

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来源期刊

Modern Stochastics-Theory and Applications STATISTICS & PROBABILITY-

CiteScore

1.30

自引率

50.00%

发文量

审稿时长

10 weeks