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Article history:
Received 8 May 2007
Received in revised form 14 November
2007
Accepted 1 May 2008
Available online 20 May 2008
a b s t r a c t
In this paper we provide explicit formulas for the moments of all orders of Nm , the number
of renewals in [0, m] of discrete-time renewal processes. We decompose the sample space
of the process, and the formulas are obtained using combinatorial methods. We obtain
k
explicit formulas for the kth order moments E [Nm
] in this manner, and we also provide
asymptotic results in both the transient and recurrent cases.
2008 Elsevier B.V. All rights reserved.
1. Introduction
In this paper we study the discrete renewal process Nm for the number of renewals in the interval [0, m]. In particular,
k
we study the higher order moments E [Nm
] of the renewal process. The first and second moments E [Nm ] and E [Nm2 ] may
be obtained by considering the variable Wn , the time required for the nth renewal. Calculations involving Wn are simpler,
because it is the sum of n identically distributed renewal times T1 , T2 , . . . , Tn . We can then relate the probabilities of Nm and
Wn , and we may obtain the first and second moments of Nm by telescoping the variables Wn . See, for example, Chaudhry and
Gupta (2008). Exact formulas are obtained in this manner, but this telescoping method does not easily extend to moments
of all orders.
k
One way to avoid this difficulty is not to deal with the conventional moments E [Nm
] directly, but instead to compute the
so-called -moments of the renewal process. The kth -moment for Nm is defined as
X
m=0
m[k] z m =
k!
,
(1 z )(1 f (z ))k
(1)
where f (z ) is the probability generating function for the inter-renewal time of the process.
k
Analogous to (1), in this paper we present a method that does give explicit formulas for the moments E [Nm
] of all
orders, and it is based essentially on a decomposition of the sample space of Nm . The resulting formulas are then derived
by combinatorial methods, and they are closely related to the Eulerian polynomials. We obtain asymptotic expressions
for the higher order moments of transient (and recurrent) renewal processes directly from them. We begin with the basic
definitions of discrete-time renewal theory, and we closely follow Chaudhry and Gupta (2008) throughout.
2. Basic discrete-time renewal theory
A process {Nm , m 1} whose state space belongs to a denumerable set {0, 1, 2, . . .} and for which the inter-renewal
times Tn = tn tn1 , n = 1, 2, 3, . . . , t0 = 0 between two successive renewals are positive independent and identically
E-mail address: Geoffrey.brown@rmc.ca.
0167-7152/$ see front matter 2008 Elsevier B.V. All rights reserved.
doi:10.1016/j.spl.2008.05.017
3009
distributed random variables (distributed as T ) is called a renewal process. For a given m, we define the random variable Nm
to count the number of renewals during a time period [0, m].
For each n 1, the renewal intervals Tn are i.i.d. random variables having common distribution
fk = P (Tn = k),
for all n 1, k 1, f0 = 0
= E [T n ] =
kfk .
k=0
fk z k .
(2)
k=0
f =
fk 1 .
k=0
In the infinite time horizon, note that the probability that exactly n renewals occur is given by
f n (1 f ), n 0.
Thus, the long run number of renewals is geometrically distributed, with success probability 1 f . Success denotes no
further renewals in this case. For this reason, a renewal process {Tn , n 1} is called recurrent if f = 1 and transient if
f < 1. Thus, we observe infinitely many renewals for a recurrent process (with probability 1), whereas we observe only
finitely many renewals for a transient process (with probability 1). With these notions in place, we are ready to discuss the
k
moments E [Nm
] of the renewal counting process Nm .
3. Higher order moments of the process Nm
Let denote the sample space of the renewal process in the infinite time horizon. Let R be the event that a renewal
occurs, and let N be the event that a renewal does not occur. Since successive renewals are independent, we may decompose
the sample space as follows:
Lemma 1. Decomposition of :
Ri N .
(3)
i=0
Thus (3) is the decomposition of with respect to the number of renewals, and it is written in terms of disjoint union and
Cartesian product of sets (or events).
We will use (3) to evaluate
2
E [N m
]z m ,
m=0
the generating series for the second moments of Nm . We formally let R(z ) and N (z ) be the probability generating functions for
the indicators of the events R and N , and we will specify these functions later. If we restrict to the interval [0, m], the event
Ri N on [0, m] implies that the random variable Nm2 will have the value i2 , and so we conclude from (3) that
2
E [N m
]z m =
m=0
k2 R(z )k N (z ).
(4)
k=0
[z m ]
k2 R(z )k N (z ) =
k=0
k2 [z m ]R(z )k N (z )
k=0
k2 P (Nm = k)
k=0
= E [Nm2 ],
(5)
3010
exactly as we require. It is important to mention that the decomposition (3) is valid for restricted to any finite interval [0, m],
and this is what justifies (4). We now solve for R(z ) and N (z ) in terms of the probability generating function f (z ) of the interrenewal time T .
Let IR and IN denote the indicator variables of the events R and N . Then
R(z ) = E [z IR ] =
fk z k = f (z ),
(6)
k=0
P (Nk = 0)z k =
k=0
P (T > k)z k
k=0
1 f (z )
1z
(7)
2
E [Nm
]z m =
m=0
1 f (z ) X
1z
k 2 f (z )k .
(8)
k=0
k=0
= 1 + f (z ) + f 2 (z ) + .
(9)
Note that (9) is well defined as a composition of power series because f0 = 0. Differentiating (9), we obtain
f 0 (z )
= f 0 (z ) + 2f (z )f 0 (z ) + 3f 2 (z )f 0 (z ) + .
(1 f (z ))2
Notice that f 0 (z ) cancels from (10), and we multiply (10) by f (z ) to obtain
f (z )
(1 f (z ))2
= f (z ) + 2f 2 (z ) + 3f 3 (z ) + =
kf (z )k .
(10)
(11)
k=0
Continuing this procedure, we again differentiate (11), cancel the f 0 (z ) factor, and multiply by f (z ) to obtain
f (z ) + f 2 (z )
(1 f (z ))3
= f (z ) + 22 f 2 (z ) + 32 f 3 (z ) + =
k2 f (z )k .
(12)
k=0
2
E [Nm
]z m =
m=0
1 f (z )
1z
1
1z
f (z ) + f 2 (z )
(1 f (z ))3
f (z ) + f 2 (z )
(1 f (z ))2
(13)
Thus, to extend this procedure to kth order moments, we adapt (4) to equate the following generating series:
X
m=0
k
E [Nm
]z m =
ik R(z )i N (z )
i=0
= N (z )
ik f ( z ) i .
(14)
i =0
1
We may formally regard f (z ) as the variable x, and we successively apply to 1
the operations of differentiating and
x
multiplying by x, which we will denote as (xD). On the basis of (11) and (12), we now conclude that
X
i=0
ik f (z )i = (xD)k
1 x
1
x=f (z )
(15)
Note that (15) is justified precisely because the derivative f 0 (z ) plays no role in the calculations.
1
The expressions (xD)k 1
are well known in combinatorics (see Comtet (1974) or Graham, Knuth and Patashnik (1994))
x
to generate the Eulerian polynomials, and they are the subject of the next section.
3011
4. Eulerian polynomials
In this section we derive the basic facts about the Eulerian polynomials which are relevant for our purposes. We begin
1
by calculating (xD)k 1
for the values k = 1, 2, 3, and 4:
x
1
.
1x
(1 x)2
2
1
x+x
(xD)2
=
.
1x
(1 x)3
(xD)
(xD)3
x + 4x2 + x3
.
( 1 x) 4
2
x + 11x + 11x3 + x4
(xD)
=
.
1x
(1 x)5
1x
1
4
(xD)k
1x
Pk (x)
,
(1 x)k+1
(16)
k
X
a(rk) xr .
(17)
r =1
(xD)k
1
1x
Pk (x)
(1 x)k+1
nk xn .
(18)
n =1
1
1x
= (1 x)k+1
nk xn .
(19)
for r = 1, 2, . . . .
(20)
n =1
Therefore
(k)
[x ]Pk (x) = ar
r
r
X
k+1
i
=
(1)
(r i)k ,
i
i =0
From (20) we make the important observation that [xr ]Pk (x) = 0 for r > k since Pk (x) is a polynomial of degree k.
It is also important for our purposes to know the sum of the coefficients of Pk (x) for each k. Thus, we seek a formula for
Pk
(k)
r =1 ar . The calculations of P1 (x), P2 (x), P3 (x), and P4 (x) suggest that
Sk =
k
X
a(rk) = k!.
(21)
r =1
1
In general, we may realize the sum of coefficients by multiplying the appropriate generating series by 1
. Thus from (19)
x
we calculate:
Pk (x)
1
1x
n
X
X
n =1
!
(k)
xn = (1 x)k
ar
r =1
nk x n .
(22)
n =1
k
X
(k)
ar
= [x ](1 x)
k
r =1
X
n =1
k
X
k
i
n x =
(1)
(k i)k .
k n
i=0
(23)
In order to proceed by induction, we must first notice the crucial fact that
k
X
k
(1)i
(k i)k1 = 0 for all k 1.
i
i =0
k
i
=k
k1
i 1
(24)
3012
Sk = k
k 1
X
(1)i
k1
i =0
((k 1) i)k1
= k Sk1 .
Since S1 = 1, we have that Sk =
Pk
(k)
r =1
ar
k
E [Nm
]z m
(25)
m=0
be the generating series for the kth order moments of Nm . From (7) and (14)(17), we may give Mk (z ) explicitly as follows:
Mk (z ) = N (z )
ik f (z )i
i=0
= N (z ) (xD)
1 x x=f (z )
P k ( x)
= N (z )
(1 x)k+1 x=f (z )
1
1 f (z )
1z
k
P
k
P
(k)
ar f ( z ) r
r =1
(1 f (z ))k+1
(k)
ar f ( z ) r
r =1
(1 z )(1 f (z ))k
(26)
(k)
where the coefficients ar are given in (20). We also mention that (1), the generating function for the kth -moments of Nm
1
may be computed as N (z ) Dk 1
|
in an analogous fashion.
x x =f ( z )
In the next section we will use (26) to obtain asymptotic results for the kth order moments of Nm in both the transient
and recurrent cases.
k
5. Asymptotic results for E [Nm
]
k
In this section we derive asymptotic expressions for E [Nm
] in both the transient and recurrent cases. The recurrent case
is often established using the asymptotic normality of Nm (see Chaudhry and Gupta (2008)). So (26) provides an alternate
derivation. We begin by stating the binomial theorem for negative integers.
Lemma 2 (Negative Binomial Theorem). For |z | < 1, we may write the following power series expansion for all k 1:
(1 z )k =
X
n+k1
k1
n=0
zn.
k=0 fk
lim P (Nm = k) = f k (1 f )
from Section 2. Using the long run distribution of Nm , we directly calculate that
k
lim E [Nm
]=
ik f i (1 f )
i=0
= (1 f ) (xD)
1 x
k
x =f
P
=
(k)
ar f r
r =1
(1 f )k
(28)
3013
from (16) and (17). Thus, an explicit formula is possible in the transient case, and it is complicated by the fact that
idiosyncrasies do not average out in the long run.
5.2. Recurrent case
We now consider the case where the inter-renewal time T is recurrent, and so f = f (1) =
k=0 fk = 1. From (26), Mk (z )
has a pole of order (k + 1) at z = 1, so we may write the following Laurent expansion for Mk (z ) at z = 1:
Mk (z ) = Ak (z ) +
ck
(1 z )k+1
(29)
k
P
= lim (1 z )
z 1
(k)
ar f (z )r
k r =1
(1 f (z ))k
k!
,
k
(30)
from (21) and repeated applications of LHpitals rule. From (29), (30) and Lemma 2, we conclude that as n ,
(31)
Thus for recurrent processes, we expect an average of n renewals on [0, n] when n is large, taken to the power k for the kth
order moment.
See Hunter (1983) for an excellent discussion of many results of discrete-time renewal theory.
References
Chaudhry, M.L., Gupta, 2008. Models of Discrete-Time Queueing Theory. Working manuscript.
Comtet, L., 1974. Advanced Combinatorics. D. Reidel Publishing Company.
Graham, Knuth, Patashnik, 1994. Concrete Mathematics, second ed. Addison-Wesley Publishing Company.
Hunter, J.J., 1983. Mathematical Techniques of Applied Probability. In: Discrete Time Models: Basic Theory, vol. 1. Academic Press.