Hypothesis testing for a Lévy-driven storage system by Poisson sampling

M. Mandjes and L. Ravner

Stochastic Processes and their Applications, 2021, vol. 133, issue C, 41-73

Abstract: This paper focuses on hypothesis testing for the input of a Lévy-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.

Keywords: Lévy-driven storage system; Poisson sampling; Hypothesis testing; Convergence to stationarity (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2020.11.005

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