Bayesian analysis of a queueing system with a long-tailed arrival process

P Ramirez, RE Lillo, MP Wiper - Communications in Statistics …, 2008 - Taylor & Francis
P Ramirez, RE Lillo, MP Wiper
Communications in Statistics—Simulation and Computation®, 2008Taylor & Francis
Internet traffic data is characterized by some unusual statistical properties, in particular, the
presence of heavy-tailed variables. A typical model for heavy-tailed distributions is the
Pareto distribution although this is not adequate in many cases. In this article, we consider a
mixture of two-parameter Pareto distributions as a model for heavy-tailed data and use a
Bayesian approach based on the birth-death Markov chain Monte Carlo algorithm to fit this
model. We estimate some measures of interest related to the queueing system k-Par/M/1 …
Internet traffic data is characterized by some unusual statistical properties, in particular, the presence of heavy-tailed variables. A typical model for heavy-tailed distributions is the Pareto distribution although this is not adequate in many cases. In this article, we consider a mixture of two-parameter Pareto distributions as a model for heavy-tailed data and use a Bayesian approach based on the birth-death Markov chain Monte Carlo algorithm to fit this model. We estimate some measures of interest related to the queueing system k-Par/M/1 where k-Par denotes a mixture of k Pareto distributions. Heavy-tailed variables are difficult to model in such queueing systems because of the lack of a simple expression for the Laplace Transform (LT). We use a procedure based on recent LT approximating results for the Pareto/M/1 system. We illustrate our approach with both simulated and real data.
Taylor & Francis Online
以上显示的是最相近的搜索结果。 查看全部搜索结果