Universal rates for estimating the residual waiting time in an intermittent way

Gusztav Morvai, Benjamin Weiss

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

A simple renewal process is a stochastic process {Xn} taking values in f0; 1g where the lengths of the runs of 1's between successive zeros are independent and identically distributed. After observing X0,X1, ... Xn one would like to estimate the time remaining until the next occurrence of a zero, and the problem of universal estimators is to do so without prior knowledge of the distribution of the process. We give some universal estimates with rates for the expected time to renewal as well as for the conditional distribution of the time to renewal.

Original languageEnglish
Pages (from-to)601-616
Number of pages16
JournalKybernetika
Volume56
Issue number4
DOIs
StatePublished - 2020

Bibliographical note

Publisher Copyright:
© 2020 Institute of Information Theory and Automation of The Czech Academy of Sciences. All rights reserved.

Keywords

  • Prediction methods
  • Renewal theory
  • Statistical inference
  • Statistical learning

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