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Parameter estimation using partial information with applications to queueing and related models

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  • Basawa, I.V.
  • Bhat, U.N.
  • Zhou, J.

Abstract

Parameter estimation based on the differences of two positive exponential family random variables is studied. Waiting time data, adjusted for idle times when necessary, are used for estimating the parameters in GI/G/1 queues. The sampling plan presented uses incomplete information on the differences between service and inter-arrival times rather than full information on service and inter-arrival times. A variation of the EM algorithm is proposed to derive parameter estimates. Specific examples are discussed, and the performances of the maximum likelihood and the corresponding estimates obtained by the EM algorithm are compared via simulations. Related applications to inventory, insurance and life-testing models are briefly considered.

Suggested Citation

  • Basawa, I.V. & Bhat, U.N. & Zhou, J., 2008. "Parameter estimation using partial information with applications to queueing and related models," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1375-1383, September.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:12:p:1375-1383
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    Cited by:

    1. Aleksandrina Goeva & Henry Lam & Huajie Qian & Bo Zhang, 2019. "Optimization-Based Calibration of Simulation Input Models," Operations Research, INFORMS, vol. 67(5), pages 1362-1382, September.
    2. Tan, Xiaoqian & Knessl, Charles & Yang, Yongzhi (Peter), 2013. "On finite capacity queues with time dependent arrival rates," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2175-2227.
    3. Yijie Peng & Michael C. Fu & Bernd Heidergott & Henry Lam, 2020. "Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling," Operations Research, INFORMS, vol. 68(6), pages 1896-1912, November.
    4. Azam Asanjarani & Yoni Nazarathy & Peter Taylor, 2021. "A survey of parameter and state estimation in queues," Queueing Systems: Theory and Applications, Springer, vol. 97(1), pages 39-80, February.

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