ON WOLFF PASTA MARTINGALE
成果类型：
Note
署名作者：
YAO, DD
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.40.3.S352
发表日期：
1992
页码：
S352-S355
关键词：
摘要：
In establishing the seminal result PASTA (Poisson Arrivals See Time Averages), R. Wolff (1982) constructed a martingale, and demonstrated that PASTA was a consequence of a strong law of large numbers of this martingale. Here we establish a central limit theorem for the PASTA martingale, and characterize its asymptotic normality. The result can be used to construct confidence intervals for estimators of the difference between the arrival (event) and time averages.