An EM algorithm for markovian arrival processes observed at discrete times

Authors:
Lothar Breuer;Alfred Kume
Affiliations:
University of Kent, Canterbury, UK;University of Kent, Canterbury, UK
Venue:
MMB&DFT'10 Proceedings of the 15th international GI/ITG conference on Measurement, Modelling, and Evaluation of Computing Systems and Dependability and Fault Tolerance
Year:
2010

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Abstract

The present paper contains a specification of the EM algorithm in order to fit an empirical counting process, observed at discrete times, to a Markovian arrival process. The given data are the numbers of observed events in disjoint time intervals. The underlying phase process is not observable. An exact numerical procedure to compute the E and M steps is given.