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|Title: ||Inference for double Pareto lognormal queues with applications|
|Author(s): ||Ramírez-Cobo, Pepa|
Lillo, Rosa E.
Wiper, Michael P.
Wilson, Simon P.
|Publisher: ||Universidad Carlos III de Madrid. Departamento de Estadística|
|Issued date: ||Feb-2008|
|Abstract: ||In this article we describe a method for carrying out Bayesian inference for the double Pareto lognormal (dPlN) distribution which has recently been proposed as a model for heavy-tailed phenomena. We apply our approach to inference for the dPlN/M/1 and M/dPlN/1 queueing systems. These systems cannot be analyzed using standard techniques due to the fact that the dPlN distribution does not posses a Laplace transform in closed form. This difficulty is overcome using some recent approximations for the Laplace transform for the Pareto/M/1 system. Our procedure is illustrated with applications in internet traffic analysis and risk theory.|
|Serie / Nº.: ||UC3M Working papers. Statistics and Econometrics|
|Keywords: ||Heavy tails|
|Appears in Collections:||DES - Working Papers. Statistics and Econometrics. WS|
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