Henrik Bengtsson
Doctoral student
Characteristics of the switch process and geometric divisibility
Author
Summary, in English
The switch process alternates independently between 1 and −1
, with the first switch to 1 occurring at the origin. The expected value function of this process is defined uniquely by the distribution of switching times. The relation between the two is implicitly described through the Laplace transform, which is difficult to use for determining if a given function is the expected value function of some switch process. We derive an explicit relation under the assumption of monotonicity of the expected value function. It is shown that geometric divisible switching time distributions correspond to a non-negative decreasing expected value function. Moreover, an explicit relation between the expected value of a switch process and the autocovariance function of the switch process stationary counterpart is obtained, leading to a new interpretation of the classical Pólya criterion for positive-definiteness.
, with the first switch to 1 occurring at the origin. The expected value function of this process is defined uniquely by the distribution of switching times. The relation between the two is implicitly described through the Laplace transform, which is difficult to use for determining if a given function is the expected value function of some switch process. We derive an explicit relation under the assumption of monotonicity of the expected value function. It is shown that geometric divisible switching time distributions correspond to a non-negative decreasing expected value function. Moreover, an explicit relation between the expected value of a switch process and the autocovariance function of the switch process stationary counterpart is obtained, leading to a new interpretation of the classical Pólya criterion for positive-definiteness.
Department/s
- Department of Statistics
Publishing year
2023-11-06
Language
English
Pages
1-8
Publication/Series
Journal of Applied Probability
Document type
Journal article
Publisher
Applied Probability Trust
Topic
- Probability Theory and Statistics
Keywords
- Renewal theory
- geometric divisibility
- binary processes
Status
Epub
ISBN/ISSN/Other
- ISSN: 1475-6072