Speaker: Zbigniew Palmowski 
Affiliation: Wroclaw University of Science and Technology


We consider the high-order Lindley equation with a solution W. It is known that under Kesten assumptions, the distribution of W has the tail which is asymptotically exponential. The main goal of this talk is to provide an explicit representation for P(W > t), which can be directly connected to the underlying weighted branching process where W is constructed and that can be used to construct unbiased and strongly efficient estimators for all t. Furthermore, we show how this new representation can be directly analyzed using Alsmeyer's Markov renewal theorem, yielding an alternative representation for the constant appearing before the exponential term. We provide numerical examples illustrating the use of this new algorithm. The talk is based on a joint paper with B. Basrak, M. Conroy and M. Olvera-Cravioto.

About Statistics, modelling and operations research seminars

Students, staff and visitors to UQ are welcome to attend our regular seminars.

The events are jointly run by our Operations research and Statistics and probability research groups.

The Statistics, modelling and operations research (SMOR) Seminar series seeks to celebrate and disseminate research and developments across the broad spectrum of quantitative sciences. The SMOR series provides a platform for communication of both theoretical and practical developments, as well as interdisciplinary topics relating to applied mathematics and statistics.


Zoom: https://uqz.zoom.us/j/85172010876