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arXiv · 1909.13311

On Occupation Time for On-Off Processes with Multiple Off-States

Chaoran Hu·Vladimir Pozdnyakov·Jun Yan
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Abstract

The need to model a Markov renewal on-off process with multiple off-states arise in many applications such as economics, physics, and engineering. Characterization of the occupation time of one specific off-state marginally or two off-states jointly is crucial to understanding such processes. We derive the exact marginal and joint distributions of the off-state occupation times. The theoretical results are confirmed numerically in a simulation study. A special case when all holding times have Levy distribution is considered for the possibility of simplification of the formulas.

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Chaoran Hu, Vladimir Pozdnyakov, Jun Yan. 2019-09-29. On Occupation Time for On-Off Processes with Multiple Off-States. https://arxiv.org/abs/1909.13311

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