Estimating Loynes' exponent

DOI10.1007/S11134-011-9245-YMaRDI QIDQ383195zbMATH OpenOpenAlexFDO

Authors Ken R. Duffy, Sean P. Meyn

Publication date 25 November 2013

Published in Queueing Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0910.5431, http://eprints.maynoothuniversity.ie/6216/1/KD-loynes-exponent.pdf

zbMATH Keywords

estimating large deviationsLoyne's exponentsingle server queue

Mathematics Subject Classification ID

Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25)

Abstract: Loynes' distribution, which characterizes the one dimensional marginal of the stationary solution to Lindley's recursion, possesses an ultimately exponential tail for a large class of increment processes. If one can observe increments but does not know their probabilistic properties, what are the statistical limits of estimating the tail exponent of Loynes' distribution? We conjecture that in broad generality a consistent sequence of non-parametric estimators can be constructed that satisfies a large deviation principle. We present rigorous support for this conjecture under restrictive assumptions and simulation evidence indicating why we believe it to be true in greater generality.

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Cited in

(4)

• A survey of parameter and state estimation in queues
• Estimation of the large deviations parameter for a single-channel queuing system with regenerative input flow
• Large deviation asymptotics for busy periods
• Evaluation of expurgated bound exponents

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