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

Published online by Cambridge University Press:  14 July 2016

B. B. Winter
B. B. Winter*
Affiliation:
University of Ottawa
*
∗ Postal address: Department of Mathematics, University of Ottawa, Ottawa, Ont., Canada K1N 6N5.
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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.

Keywords

LENGTH BIASSIMULATION
Type
Short Communications
Information
Journal of Applied Probability , Volume 26 , Issue 2 , June 1989 , pp. 404 - 407
Copyright
Copyright © Applied Probability Trust 1989 

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References

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