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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/1316
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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 |
| URI: | http://hdl.handle.net/10016/1316 |
| 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
08-02 |
| Keywords: | Heavy tails
Bayesian inference
Queueing theory |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
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