Two-step procedures in palm theory

Two-step procedures in palm theory

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Article ID: iaor20022076
Country: United States
Volume: 14
Issue: 1
Start Page Number: 75
End Page Number: 92
Publication Date: Jan 2001
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors:
Keywords: probability, queues: theory
Abstract:

Random time changes (RTCs) are right-continuous and non-decreasing random functions passing the zero-level at 0. The behavior of such systems can be studied from a randomly chosen time-point and from a randomly chosen level. From the first point of view, the probability characteristics are described by the time-stationary distribution P. From the second point of view, the detailed Palm distribution (DPD) is the ruling probability mechanism. The main topic of the present paper is a relationship between P and its DPD. Under P, the origin falls in a continuous part of the graph. Under the DPD, there are two typical situations: the origin lies in a jump-part of the extended graph or it lies in a continuous part. These observations lead to two conditional DPDs. We derive two-step procedures, which bridge the gaps between the several distributions. One step concerns the application of a shift, the second is just a change of measure arranged by a weight-function. The procedures are used to derive local characterization results for the distribution of Palm type. We also consider simulation applications. For instance, a procedure is mentioned to generate a simulation of the RTC as seen from a randomly chosen level in a jump-part when starting with simulations from a randomly chosen time-point. The point process with batch-arrivals is often used as an application.

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