Fearnhead, Paul (2004) Filtering recursions for calculating likelihoods for queues based on inter-departure time data. Statistics and Computing, 14 (3). pp. 261-266. ISSN 0960-3174Full text not available from this repository.
We consider inference for queues based on inter-departure time data. Calculating the likelihood for such models is difficult, as the likelihood involves summing up over the (exponentially-large) space of realisations of the arrival process. We demonstrate how a likelihood recursion can be used to calculate this likelihood efficiently for the specific cases of M/G/1 and Er/G/1 queues. We compare the sampling properties of the mles to the sampling properties of estimators, based on indirect inference, which have previously been suggested for this problem.
|Journal or Publication Title:||Statistics and Computing|
|Uncontrolled Keywords:||Er/G/1 queues - forward-backward algorithm - indirect inference - likelihood recursions - M/G/1 queues - missing data|
|Subjects:||Q Science > QA Mathematics|
|Departments:||Faculty of Science and Technology > Mathematics and Statistics|
|Deposited By:||Prof Paul Fearnhead|
|Deposited On:||15 Apr 2008 10:17|
|Last Modified:||07 Jan 2015 16:05|
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