Indirect Estimation Via L = λ W

Peter W. Glynn and Ward Whitt
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Peter W. Glynn: Stanford University, Stanford, California
Ward Whitt: AT&T Bell Laboratories, Murray Hill, New Jersey

Operations Research, 1989, vol. 37, issue 1, 82-103

Abstract: For a large class of queueing systems, Little's law ( L = λ W ) helps provide a variety of statistical estimators for the long-run time-average queue length L and the long-run customer-average waiting time W . We apply central limit theorem versions of Little's law to investigate the asymptotic efficiency of these estimators. We show that an indirect estimator for L using the natural estimator for W plus the known arrival rate λ is more efficient than a direct estimator for L , provided that the interarrival and waiting times are negatively correlated, thus extending a variance-reduction principle for the GI/G/s model due to A. M. Law and J. S. Carson. We also introduce a general framework for indirect estimation which can be applied to other problems besides L = λ W . We show that the issue of indirect-versus-direct estimation is related to estimation using nonlinear control variables. We also show, under mild regularity conditions, that any nonlinear control-variable scheme is equivalent to a linear control-variable scheme from the point of view of asymptotic efficiency. Finally, we show that asymptotic bias is typically asymptotically negligible compared to asymptotic efficiency.

Keywords: queues: applications to statistical estimation; queues: asymptotic efficiency via L=(lambda)W; simulation: control variables (search for similar items in EconPapers)
Date: 1989
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