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Nonparametric Estimation of Tail Probabilities for the Single-Server Queue
Nonparametric Estimation Tail Probabilities Single-Server Queue
2015/7/8
We consider the estimation of tail probabilities in queues via the nonparametric estimator constructed by simple computing the observed fraction of time that the queue is out in the tail. We show that...
Parametric Estimation of Tail Probabilities for the Single-Server Queue
Parametric Estimation Tail Probabilities Single-Server Queue
2015/7/8
In this chapter, we consider the question of how long the arrival process to the single-server queue needs to be observed in order to accurately estimate the long-run fraction of time that the workloa...
Estimating Tail Probabilities in Queues via Extremal Statistics
Extreme values queues regenerative processes rare events estimation asymptotics
2015/7/8
We study the estimation of tail probabilities in a queue via a semi-parametric estimator based on the maximum value of the workload, observed over the sampled time interval. Logarithmic consistency an...
We review various inequalities for Mills' ratio (1 - \Phi)/\phi, where \phi and \Phi denote the standard Gaussian density and distribution function, respectively. Elementary considerations involving f...
Estimates for tail probabilities of quadratic and bilinear forms in subgaussian random variables with applications to the law of the iterated logarithm
Estimates for tail probabilities quadratic and bilinear forms
2009/9/23
We prove upper estimates for the tail prebabibties: of
quadratic and bilinear forms in independent subgaussian randarn
vslriabb. These inequalities are used to get upper esthatcs in thc law
diterat...
Tail probabilities for a risk process with subexponential jumps in a regenerative and diffusion environment
Ruin probability Cox process diffusion process exponential change of measure
2009/9/21
In this paper we fmd a nonexponential Lundberg approximation
of the ruin probability in a Cox model, in which a governing
process has a regenerative structure and claims are light-tailed or
have an...
Coamparision of tail probabilities of strictly stable/stable random vectors and their symmetrized counterparts with application
Stable emistable nequality
2009/9/21
It is shown that the tail probabilities of a strictly
(r, a)-semistable (0 < r < 1,0 < n < 2, a # 1) Banach space valued random
vector X and its symmetrized counterpart are "uniformly" comparable
i...
Extremes of periodic moving averages of random variables with regularly varying tail probabilities
Periodic moving average processes extremal index mixing condition
2009/2/23
We define a family of local mixing conditions that enable the computation of the extremal index of periodic sequences from the joint distributions of k consecutive variables of the sequence. By applyi...