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

12/05/2019
by   Michel Mandjes, et al.
0

This paper focuses 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.

READ FULL TEXT

page 1

page 2

page 3

page 4

research
06/22/2018

Hypothesis testing near singularities and boundaries

The likelihood ratio statistic, with its asymptotic χ^2 distribution at ...
research
05/20/2022

Input estimation from discrete workload observations in a Lévy-driven storage system

We consider the estimation of the characteristic exponent of the input t...
research
06/15/2023

Optimal Hypothesis Testing Based on Information Theory

There has a major problem in the current theory of hypothesis testing in...
research
12/02/2021

Bayesian supervised predictive classification and hypothesis testing toolkit for partition exchangeability

Bayesian supervised predictive classifiers, hypothesis testing, and para...
research
10/25/2017

Bayesian hypothesis tests with diffuse priors: Can we have our cake and eat it too?

We introduce a new class of priors for Bayesian hypothesis testing, whic...
research
12/15/2020

Optimal ROC Curves from Score Variable Threshold Tests

The Receiver Operating Characteristic (ROC) is a well-established repres...
research
02/22/2021

The likelihood-ratio test for multi-edge network models

The complexity underlying real-world systems implies that standard stati...

Please sign up or login with your details

Forgot password? Click here to reset