Related papers: Bayesian nonparametric inference for the M/G/1 que…
Gaussian process is a theoretically appealing model for nonparametric analysis, but its computational cumbersomeness hinders its use in large scale and the existing reduced-rank solutions are usually heuristic. In this work, we propose a…
In this paper, we study quasi-stationary distributions of nonlinearly perturbed semi-Markov processes in discrete time. This type of distributions is of interest for the analysis of stochastic systems which have finite lifetimes, but are…
A key quantity of interest in Bayesian inference are expectations of functions with respect to a posterior distribution. Markov Chain Monte Carlo is a fundamental tool to consistently compute these expectations via averaging samples drawn…
This paper deals with the estimation of the unknown distribution of hidden random variables from the observation of pairwise comparisons between these variables. This problem is inspired by recent developments on Bradley-Terry models in…
This paper studies statistical inference in a network of infinite-server queues, with the aim of estimating the underlying parameters (routing matrix, arrival rates, parameters pertaining to the service times) using observations of the…
Bayesian learning in undirected graphical models|computing posterior distributions over parameters and predictive quantities is exceptionally difficult. We conjecture that for general undirected models, there are no tractable MCMC (Markov…
Bayesian nonparametric inferential procedures based on Markov chain Monte Carlo marginal methods typically yield point estimates in the form of posterior expectations. Though very useful and easy to implement in a variety of statistical…
We consider a single-server queue where interarrival and service times depend linearly and randomly on customer waiting times, and establish a sample-path moderate deviation principle (MDP) for the waiting time process. The waiting times…
A mean-field extension of the queueing system \(GI/GI/1\) is considered. The process is constructed as a Markov solution of a martingale problem. Uniqueness in distribution is established under a bit different sets of assumptions on…
This paper studies the performance of Non-persistent CSMA/CA protocols with K-Exponential Backoff scheduling algorithms. A multi-queue single-server system is proposed to model multiple access networks. The input buffer of each access node…
In this paper, we introduce a nonlinear stochastic model to describe the propagation of information inside a computer processor. In this model, a computational task is divided into stages, and information can flow from one stage to another.…
Bayesian filtering deals with computing the posterior distribution of the state of a stochastic dynamic system given noisy observations. In this paper, motivated by applications in counter-adversarial systems, we consider the following…
Circular time series has received relatively little attention in statistics and modeling complex circular time series using the state space approach is non-existent in the literature. In this article we introduce a flexible Bayesian…
A special customer must complete service from two servers in series, in either order, each with an M/M/1 queueing system. It is assumed that the two queueing system lengths are independent with initial numbers of customers a and b at the…
Estimation of parameters of a diffusion based on discrete time observations poses a difficult problem due to the lack of a closed form expression for the likelihood. From a Bayesian computational perspective it can be casted as a missing…
Fluctuations in stochastic systems are usually characterized by the full counting statistics, which analyzes the distribution of the number of events taking place in the fixed time interval. In an alternative approach, the distribution of…
This article describes an accurate procedure for computing the mean first passage times of a finite irreducible Markov chain and a Markov renewal process. The method is a refinement to the Kohlas, Zeit fur Oper Res, 30,197-207, (1986)…
This paper studies a closed queueing network containing a hub (a state dependent queueing system with service depending on the number of units residing here) and $k$ satellite stations, which are $GI/M/1$ queueing systems. The number of…
We introduce a non-Markovian generalization of the classical M/M/1 queue by incorporating extended nonlocal time dynamics into Kolmogorov forward equations. We obtain the model by replacing the standard time derivative with an extended…
We consider a general $k$ dimensional discounted infinite server queues process (alternatively, an Incurred But Not Reported (IBNR) claim process) where the multivariate inputs (claims) are given by a $k$ dimensional finite state Markov…