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Hypothesis testing for a Lévy-driven storage system by Poisson sampling
Stochastic Processes and their Applications ( IF 1.4 ) Pub Date : 2021-03-01 , DOI: 10.1016/j.spa.2020.11.005
M. Mandjes , L. Ravner

This paper focuses hypothesis testing for the input of a L\'evy-driven storage system by sampling of the storage level. As the likelihood is not explicit we propose two tests that rely on transformation of the data. The first approach uses i.i.d. `quasi-busy-periods' between observations of zero workload. The distribution of the duration of quasi-busy-periods is determined. The second method is a conditional likelihood ratio test based on the Bernoulli events of observing a zero or positive workload, conditional on the previous workload. Performance analysis is presented for both tests along with speed-of-convergence results, that are of independent interest.

中文翻译:

通过泊松采样对 Lévy 驱动的存储系统进行假设检验

本文通过对存储级别的采样重点对 L\'evy 驱动的存储系统的输入进行假设检验。由于可能性不明确,我们提出了两个依赖于数据转换的测试。第一种方法在零工作负载的观察之间使用 iid `quasi-busy-periods'。准繁忙时段的持续时间的分布被确定。第二种方法是基于观察零或正工作负载的伯努利事件的条件似然比测试,条件是先前的工作负载。两个测试的性能分析以及收敛速度的结果都是独立的。
更新日期:2021-03-01
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