Bayesian inference for double Pareto lognormal queues

DOI10.1214/10-AOAS336MaRDI QIDQ614174zbMATH OpenFDO

Authors Michael P. Wiper, Pepa Ramírez-Cobo, Rosa E. Lillo, Simon P. Wilson

Publication date 27 December 2010

Published in The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1011.3411

zbMATH Keywords

heavy tailsBayesian methodsqueueing systemsLaplace transform approximation methods

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Queueing theory (aspects of probability theory) (60K25)

Abstract: In this article we describe a method for carrying out Bayesian estimation for the double Pareto lognormal (dPlN) distribution which has been proposed as a model for heavy-tailed phenomena. We apply our approach to estimate the $mathitdPlN/M/1$ and $M/mathitdPlN/1$ queueing systems. These systems cannot be analyzed using standard techniques due to the fact that the dPlN distribution does not possess a Laplace transform in closed form. This difficulty is overcome using some recent approximations for the Laplace transform of the interarrival distribution for the $mathitPareto/M/1$ system. Our procedure is illustrated with applications in internet traffic analysis and risk theory.

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Cited in

(14)

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• Bayesian Analysis of a Queueing System with a Long-Tailed Arrival Process
• Fitting procedure for the two-state batch Markov modulated Poisson process
• Modelling and estimating heavy-tailed non-homogeneous correlated queues: Pareto-inverse gamma HGLM with covariates
• EM estimation for the mixed Pareto regression model for claim severities
• Analysis of an aggregate loss model in a Markov renewal regime
• Decision making under uncertain and dependent system rates in service systems
• On modelling asymmetric data using two-piece sinh-arcsinh distributions
• Bayesian inference for double Pareto lognormal queues
• A global optimisation approach for parameter estimation of a mixture of double Pareto lognormal and lognormal distributions
• Bayesian inference for the offered optical network unit load
• Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
• An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion
• A survey of parameter and state estimation in queues

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