STATIONARY MARKOVIAN ARRIVAL PROCESSES: RESULTS AND OPEN PROBLEMS

DOI10.1017/S1446181122000013zbMATH Open1490.60245arXiv1905.01736OpenAlexW2943080170MaRDI QIDQ5086069FDOQ5086069

Authors: Yoni Nazarathy, Azam Asanjarani 

Publication date: 1 July 2022

Published in: The ANZIAM Journal (Search for Journal in Brave)

Abstract: We consider two classes of irreducible Markovian arrival processes specified by the matrices $C$ and $D$. The Markov Modulated Poison Process (MMPP) and the Markovian Switched Poison Process (MSPP). The former exhibits a diagonal $D$ while the latter exhibits a diagonal $C$. For these two classes, we consider the following statements: (I) Overdispersion of the counts process. (II) A non-increasing hazard rate of the stationary inter-event time. (III) The squared coefficient of variation of the event stationary process is greater or equal to unity. (IV) A stochastic order showing that the time stationary inter-arrival time dominates the event-stationary time. For general MSPPs and two-state MMPPs, we show that (I)-(IV) hold. Then for general MMPPs, it is easy to establish (I), while (II) is false due to a counter-example of Miklos Telek and Illes Horvath. For general simple point processes, (III) follows from (IV). For MMPPs we conjecture and numerically test that (IV) and thus (III) hold. Importantly, modeling folklore has often treated MMPPs as ``bursty and implicitly assumed that (III) holds. However, this is still an open question.

Full work available at URL: https://arxiv.org/abs/1905.01736

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zbMATH Keywords

over-dispersionburstystationary processhazard rateMarkovian arrival processsquared coefficient of variationMarkov-modulated Poisson processinterarrival timesMarkov-switched Poisson process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cited In (10)

• Title not available (Why is that?)
• Renewal characterization of Markov modulated Poisson processes
• The burstiness of point processes^∗
• Title not available (Why is that?)
• Local poissonification of the markovian arrival process
• Mean arrival times of sets for Markov chains
• Markovian arrivals in stochastic modeling: a survey and some new results (invited article with discussion: Rafael Pérez-Ocón, Miklos Telek and Yiqiang Q. Zhao)
• Analysis of a non-Markovian queueing model: Bayesian statistics and MCMC methods
• On Markovian traffic with applications to TES processes
• Bounds on the mean and squared coefficient of variation of phase-type distributions

Uses Software

• StatsWithJuliaBook

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