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On Wolff's Pasta Martingale

Author

Listed:
  • David D. Yao

    (Columbia University, New York, New York)

Abstract

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.

Suggested Citation

  • David D. Yao, 1992. "On Wolff's Pasta Martingale," Operations Research, INFORMS, vol. 40(3-supplem), pages 352-355, June.
    • Handle: RePEc:inm:oropre:v:40:y:1992:i:3-supplement-2:p:s352-s355
    DOI: 10.1287/opre.40.3.S352
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