COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, vol.46, no.3, pp.1445-1455, 2017 (SCI-Expanded)
A semi-Markovian random walk process (X(t)) with a generalized beta distribution of chance is considered. The asymptotic expansions for the first four moments of the ergodic distribution of the process are obtained as E((n)) when the random variable (n) has a generalized beta distribution with parameters (s, S, , ); , > 1,0 s < S < . Finally, the accuracy of the asymptotic expansions is examined by using the Monte Carlo simulation method.