Nonparametric estimation of the service time distribution in the M/G/ queue

DOI10.1017/APR.2016.67zbMATH Open1356.62125arXiv1508.00076OpenAlexW2564678361MaRDI QIDQ2963687FDOQ2963687

Authors: Alexander Goldenshluger 

Publication date: 21 February 2017

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: The subject of this paper is the problem of estimating service time distribution of the $M/G/infty$ queue from incomplete data on the queue. The goal is to estimate $G$ from observations of the queue--length process at the points of the regular grid on a fixed time interval. We propose an estimator and analyze its accuracy over a family of target service time distributions. The original $M/G/infty$ problem is closely related to the problem of estimating derivatives of the covariance function of a stationary Gaussian process. We consider the latter problem and derive lower bounds on the minimax risk. The obtained results strongly suggest that the proposed estimator of the service time distribution is rate optimal.

Full work available at URL: https://arxiv.org/abs/1508.00076

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zbMATH Keywords

nonparametric estimationcovariance functionminimax riskstationary processrates of convergence\(\mathrm{M}/\mathrm{G}/\infty\) queue

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

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