Input estimation from discrete workload observations in a Lévy-driven storage system
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2022
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866917760215285760 |
|---|---|
| author | Nieman, Dennis Mandjes, Michel Ravner, Liron |
| author_facet | Nieman, Dennis Mandjes, Michel Ravner, Liron |
| contents | Our goal is to estimate the characteristic exponent of the input to a Lévy-driven storage system from a sample of equispaced workload observations. The estimator relies on an approximate moment equation associated with the Laplace-Stieltjes transform of the workload at exponentially distributed sampling times. The estimator is pointwise consistent for any observation grid. Moreover, a high frequency sampling scheme yields asymptotically normal estimation errors for a class of input processes. A resampling scheme that uses the available information in a more efficient manner is suggested and assessed via simulation experiments. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2205_09980 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Input estimation from discrete workload observations in a Lévy-driven storage system Nieman, Dennis Mandjes, Michel Ravner, Liron Probability Statistics Theory Our goal is to estimate the characteristic exponent of the input to a Lévy-driven storage system from a sample of equispaced workload observations. The estimator relies on an approximate moment equation associated with the Laplace-Stieltjes transform of the workload at exponentially distributed sampling times. The estimator is pointwise consistent for any observation grid. Moreover, a high frequency sampling scheme yields asymptotically normal estimation errors for a class of input processes. A resampling scheme that uses the available information in a more efficient manner is suggested and assessed via simulation experiments. |
| title | Input estimation from discrete workload observations in a Lévy-driven storage system |
| topic | Probability Statistics Theory |
| url | https://arxiv.org/abs/2205.09980 |