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Joint simulation of backward and forward recurrence times in a superposition of independent renewal processes
Published online by Cambridge University Press: 14 July 2016
Abstract
It is shown that, in a superposition of finitely many independent renewal processes, an observation from the limiting (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 Ware independent random variables with U ~ uniform(0, 1) and W distributed according to the limiting total life distribution of the superposition process.
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- Copyright © Applied Probability Trust 1991
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