A minimal representation of Markov arrival processes and a moments matching method

The paper investigates the problem of minimal representation of Markov arrival processes of order n (MAP( n )). The minimal representation of MAPs is crucial for developing effective fitting methods. It seems that all existing MAP fitting methods are based on the D 0 , D 1 representation which is kn...

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Vydáno v:Performance evaluation Ročník 64; číslo 9; s. 1153 - 1168
Hlavní autoři: Telek, M., Horváth, G.
Médium: Journal Article
Jazyk:angličtina
Vydáno: Elsevier B.V 01.10.2007
Témata:
Markov arrival process
Minimal representation
Moments of interarrival time distribution
Parameter fitting
Markov arrival process
Moments of interarrival time distribution
Parameter fitting
Minimal representation
ISSN:0166-5316, 1872-745X
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Shrnutí:The paper investigates the problem of minimal representation of Markov arrival processes of order n (MAP( n )). The minimal representation of MAPs is crucial for developing effective fitting methods. It seems that all existing MAP fitting methods are based on the D 0 , D 1 representation which is known to be redundant. We present the minimal number of parameters to define a MAP( n ) and provide a numerical moments-matching method based on a minimal representation. The discussion starts with a characterization of phase type (PH) distributions and then the analysis of MAPs follows a similar pattern. This characterization contains essential results on the identity of stationary behaviour of MAPs and on the number of parameters required to describe the stationary behaviour. The proposed moments matching method is also applicable for PH distributions. In this case it is a unique method that fits a general PH distribution of order n based on 2 n − 1 parameters.
ISSN:0166-5316
1872-745X
DOI:10.1016/j.peva.2007.06.001