A fitting algorithm for Markov-modulated Poisson processes having two arrival rates

DOI10.1016/0377-2217(87)90250-5MaRDI QIDQ1820538zbMATH OpenOpenAlexFDO

Authors K. S. Meier-Hellstern

Publication date 1987

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-2217(87)90250-5

zbMATH Keywords

communications modelingfitting algorithmfluctuating arrival ratesMarkov renewal processMarkov-modulated Poisson processesPoint processesqueueing theory

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Inference from stochastic processes (62M99)

Review text

Point processes with fluctuating arrival rates arise in many current applications of queueing theory, notably in communications modeling. Markov-modulated Poisson processes (MMPP) have been used to describe such processes because they incorporate a mechanism to account for the temporal inhomogeneity of the arrival rates, yet yield analytically tractable queueing results. An iterative statistical procedure is developed for fitting MMPP having two arrival rates to observational data. The procedure is largely numerical-experimental and is motivated by maximum likelihood estimation.

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Cited in

(19)

• Approximate analysis of discrete-time tandem queueing networks with bursty and correlated input traffic and customer loss
• Estimating the parameters of a seasonal Markov-modulated Poisson process
• Multipreconditioned GMRES for simulating stochastic automata networks
• A multi-item approach to repairable stocking and expediting in a fluctuating demand environment
• A fitting algorithm for Markov-modulated Poisson processes having two arrival rates
• Fitting procedure for the two-state batch Markov modulated Poisson process
• Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework
• Estimation of the parameters of a Markov-modulated loss process in insurance
• An automated multiresolution procedure for modeling complex arrival processes
• Cyclic markov modulated poisson processes in traffic characterization
• The survey on Markov-modulated arrival processes and their application to the analysis of active queue management algorithms
• Output and Delay Processes in a Slotted ALOHA Multichannel Packet Radio Network with Capture
• Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process
• Approximation of Some Markov-Modulated Poisson Processes
• Markov modulated Poisson process associated with state-dependent marks and its applications to the deep earthquakes
• Parameter estimation for Markov modulated poisson processes
• MAP fitting by count and inter-arrival moment matching
• Sign CUSUM algorithm for change-point detection of the MMPP controlling chain state
• An EM algorithm for estimation in Markov-modulated Poisson processes

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