Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process

Liron Ravner (Corresponding author), Onno Boxma, Michel Mandjes

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4 Citations (Scopus)
78 Downloads (Pure)

Abstract

This paper aims at semi-parametrically estimating the input process to a Lévy-driven queue by sampling the workload process at Poisson times. We construct a method-of-moments based estimator for the Lévy process' characteristic exponent. This method exploits the known distribution of the workload sampled at an exponential time, thus taking into account the dependence between subsequent samples. Verifiable conditions for consistency and asymptotic normality are provided, along with explicit expressions for the asymptotic variance. The method requires an intermediate estimation step of estimating a constant (related to both the input distribution and the sampling rate); this constant also features in the asymptotic analysis. For subordinator Lévy input, a partial MLE is constructed for the intermediate step and we show that it satisfies the consistency and asymptotic normality conditions. For general spectrally-positive Lévy input a biased estimator is proposed that only uses workload observations above some threshold; the bias can be made arbitrarily small by appropriately choosing the threshold.

Original languageEnglish
Pages (from-to)3734-3761
Number of pages28
JournalBernoulli
Volume25
Issue number4B
DOIs
Publication statusPublished - Nov 2019

Keywords

  • Lévy-driven queue
  • Nonparametric estimation
  • Poisson probing
  • Queue input estimation
  • Transient queueing
  • transient queueing
  • nonparametric estimation
  • Levy-driven queue
  • queue input estimation

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