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

作     者：Fearnhead, P 

作者机构：Univ Lancaster Dept Math & Stat Lancaster LA1 4YF England 

出 版 物：《STATISTICS AND COMPUTING》 (统计学与计算)

年 卷 期：2004年第14卷第3期

页      面：261-266页

核心收录：

学科分类：0202[经济学-应用经济学] 02[经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

基　　金：Engineering and Physical Sciences Research Council  EPSRC  (GR/R91724) 

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

摘      要：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.