An EM algorithm for Batch Markovian Arrival Processes and its comparison to a simpler estimation procedure

Breuer, Lothar (2002) An EM algorithm for Batch Markovian Arrival Processes and its comparison to a simpler estimation procedure. Annals of Operations Research, 112 (1-4). pp. 123-138. ISSN 0254-5330. (The full text of this publication is not available from this repository)

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Official URL
http://dx.doi.org/10.1023/A:1020981005544

Abstract

Although the concept of Batch Markovian Arrival Processes (BMAPs) has gained widespread use in stochastic modelling of communication systems and other application areas, there are few statistical methods of parameter estimation proposed yet. However, in order to practically use BMAPs for modelling, statistical model fitting from empirical time series is an essential task. The present paper contains a specification of the classical EM algorithm for MAPs and BMAPs as well as a performance comparison to the computationally simpler estimation procedure recently proposed by Breuer and Gilbert. Furthermore, it is shown how to adapt the latter to become an estimator for hidden Markov models.

Item Type: Article
Uncontrolled keywords: Markovian Arrival Process; EM algorithm; maximum likelihood estimation; hidden Markov models
Subjects: H Social Sciences > HA Statistics
Divisions: Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science
Depositing User: Judith Broom
Date Deposited: 19 Dec 2007 18:17
Last Modified: 20 Apr 2012 13:44
Resource URI: http://kar.kent.ac.uk/id/eprint/489 (The current URI for this page, for reference purposes)
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