A correction term for the covariance of renewal-reward processes with multivariate rewards

Brendan Patch, Yoni Nazarathy and Thomas Taimre

Statistics & Probability Letters, 2015, vol. 102, issue C, 1-7

Abstract: We consider a renewal-reward process with multivariate rewards. Such a process is constructed from an i.i.d. sequence of time periods, to each of which there is associated a multivariate reward vector. The rewards in each time period may depend on each other and on the period length, but not on the other time periods. Rewards are accumulated to form a vector valued process that exhibits jumps in all coordinates simultaneously, only at renewal epochs.

Keywords: Renewal process; Renewal-reward process; Multivariate rewards; Covariance time curve; Central limit theorem (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2015.03.005

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