ON A GENERALIZATION OF THE STATIONARY EXCESS OPERATOR. Issue 2 (30th March 2015)

• Record Type: Journal Article
• Authors: Kerner, Yoav; Löpker, Andreas
• Is Part Of: Probability in the engineering and informational sciences. Volume 29:Issue 2(2015)
• Page Start: 219
• Page End: 232
• Publication Date: 2015-03-30
• Subjects: Probabilities -- Periodicals; Engineering -- Statistical methods -- Periodicals; Information science -- Statistical methods -- Periodicals; 519.202462
• DOI: 10.1017/S0269964814000308
• Languages: English
• ISSNs: 0269-9648

Abstract

Abstract : We show that overshoots over Erlang random variables give rise to a natural generalization of the stationary excess operator and its iterates. The new operators can be used to derive expansions for the expectation E g ( X ) of a non-negative random variable, similar to Taylor-like expansions encountered when studying stationary excess operators.