An EM Algorithm for Batch Markovian Arrival Processes and its Comparison to a Simpler Estimation Procedure

Lothar Breuer ()

Annals of Operations Research, 2002, vol. 112, issue 1, 123-138

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. Copyright Kluwer Academic Publishers 2002

Keywords: Markovian Arrival Process; EM algorithm; maximum likelihood estimation; hidden Markov models (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1020981005544

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