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

05/20/2022

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by   Dennis Nieman, et al.

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We consider the estimation of the characteristic exponent of the input to a Lévy-driven storage model. The input process is not directly observed, but rather the workload process is sampled on an equispaced grid. The estimator relies on an approximate moment equation associated with the Laplace-Stieltjes transform of the workload at exponentially distributed sampling times. The estimator is pointwise consistent for any observation grid. Moreover, the distribution of the estimation errors is asymptotically normal for a high frequency sampling scheme. A resampling scheme that uses the available information in a more efficient manner is suggested and studied via simulation experiments.