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On Universal Estimates for Binary Renewal Processes

Gusztáv Morvai and Benjamin Weiss
The Annals of Applied Probability
Vol. 18, No. 5 (Oct., 2008), pp. 1970-1992
Stable URL: http://www.jstor.org/stable/25442700
Page Count: 23
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On Universal Estimates for Binary Renewal Processes
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Abstract

A binary renewal process is a stochastic process $\{X_{n}\}$ taking values in {0, 1} where the lengths of the runs of 1's between successive zeros are independent. After observing X₀, X₁,..., $X_{n}$ one would like to predict the future behavior, and the problem of universal estimators is to do so without any prior knowledge of the distribution. We prove a variety of results of this type, including universal estimates for the expected time to renewal as well as estimates for the conditional distribution of the time to renewal. Some of our results require a moment condition on the time to renewal and we show by an explicit construction how some moment condition is necessary.

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