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

Full text not available from this repository.

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:	26 Jul 2012 18:21
Identification Number:
URI:	http://eprints.lancs.ac.uk/id/eprint/8198

Actions (login required)

View Item