A non-linear Renewal Theorem with stationary and slowly changing perturbations
Statistics Theory
2007-06-13 v1 Statistics Theory
Abstract
Non-linear renewal theory is extended to include random walks perturbed by both a slowly changing sequence and a stationary one. Main results include a version of the Key Renewal Theorem, a derivation of the limiting distribution of the excess over a boundary, and an expansion for the expected first passage time. The formulation is motivated by problems in sequential analysis with staggered entry, where subjects enter a study at random times.
Keywords
Cite
@article{arxiv.math/0611695,
title = {A non-linear Renewal Theorem with stationary and slowly changing perturbations},
author = {Dong-Yun Kim and Michael Woodroofe},
journal= {arXiv preprint arXiv:math/0611695},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/074921706000000680 in the IMS Lecture Notes--Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)