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Filtering recursions for calculating likelihoods for queues based on inter-departure time data.

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 0960-3174

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Abstract

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.

Item Type: Article
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
ID Code: 8198
Deposited By: Prof Paul Fearnhead
Deposited On: 15 Apr 2008 10:17
Refereed?: Yes
Published?: Published
Last Modified: 09 Oct 2013 15:42
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/8198

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