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

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Filtering recursions for calculating likelihoods for queues based on inter-departure time data. / Fearnhead, Paul.
In: Statistics and Computing, Vol. 14, No. 3, 08.2004, p. 261-266.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Fearnhead, P 2004, 'Filtering recursions for calculating likelihoods for queues based on inter-departure time data.', Statistics and Computing, vol. 14, no. 3, pp. 261-266. https://doi.org/10.1023/B:STCO.0000035305.92337.80

APA

Fearnhead, P. (2004). Filtering recursions for calculating likelihoods for queues based on inter-departure time data. Statistics and Computing, 14(3), 261-266. https://doi.org/10.1023/B:STCO.0000035305.92337.80

Vancouver

Fearnhead P. Filtering recursions for calculating likelihoods for queues based on inter-departure time data. Statistics and Computing. 2004 Aug;14(3):261-266. doi: 10.1023/B:STCO.0000035305.92337.80

Author

Fearnhead, Paul. / Filtering recursions for calculating likelihoods for queues based on inter-departure time data. In: Statistics and Computing. 2004 ; Vol. 14, No. 3. pp. 261-266.

Bibtex

@article{6551ec139ec148bd9927db3c22207c08,
title = "Filtering recursions for calculating likelihoods for queues based on inter-departure time data.",
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.",
keywords = "Er/G/1 queues - forward-backward algorithm - indirect inference - likelihood recursions - M/G/1 queues - missing data",
author = "Paul Fearnhead",
year = "2004",
month = aug,
doi = "10.1023/B:STCO.0000035305.92337.80",
language = "English",
volume = "14",
pages = "261--266",
journal = "Statistics and Computing",
issn = "0960-3174",
publisher = "Springer Netherlands",
number = "3",

}

RIS

TY - JOUR

T1 - Filtering recursions for calculating likelihoods for queues based on inter-departure time data.

AU - Fearnhead, Paul

PY - 2004/8

Y1 - 2004/8

N2 - 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.

AB - 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.

KW - Er/G/1 queues - forward-backward algorithm - indirect inference - likelihood recursions - M/G/1 queues - missing data

U2 - 10.1023/B:STCO.0000035305.92337.80

DO - 10.1023/B:STCO.0000035305.92337.80

M3 - Journal article

VL - 14

SP - 261

EP - 266

JO - Statistics and Computing

JF - Statistics and Computing

SN - 0960-3174

IS - 3

ER -