Tail asymptotics for a random sign Lindley recursion
Probability
2014-04-23 v2 Statistics Theory
Statistics Theory
Abstract
We investigate the tail behaviour of the steady state distribution of a stochastic recursion that generalises Lindley's recursion. This recursion arises in queuing systems with dependent interarrival and service times, and includes alternating service systems and carousel storage systems as special cases. We obtain precise tail asymptotics in three qualitatively different cases, and compare these with existing results for Lindley's recursion and for alternating service systems.
Keywords
Cite
@article{arxiv.0808.3495,
title = {Tail asymptotics for a random sign Lindley recursion},
author = {Maria Vlasiou and Zbigniew Palmowski},
journal= {arXiv preprint arXiv:0808.3495},
year = {2014}
}
Comments
12 pages, 22 references