Joint simulation of backward and forward recurrence times in a renewal process

Joint simulation of backward and forward recurrence times in a renewal process

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Article ID: iaor1990753
Country: Israel
Volume: 26
Issue: 2
Start Page Number: 1
End Page Number: 7
Publication Date: Jun 1989
Journal: Journal of Applied Probability
Authors:
Abstract:

It is shown that, in a renewal process with inter-arrival distribution F, an observation from the asymptotic (when t⇒•) joint distribution of backward and forward recurrence times at t can be simulated by simulating an observation of the pair (UW,(1-U)W), where U and W are independent random variables with U∼uniform(0,1) and W distributed according to the length-biased version of F.

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