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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.