Bayesian Nonparametric Inference for M/G/1 Queueing Systems

Abstract: In this work, nonparametric statistical inference is provided for the continuous-time M/G/1 queueing model from a Bayesian point of view. The inference is based on observations of the inter-arrival and service times. Beside other characteristics of the system, particular interest is in the waiting time distribution which is not accessible in closed form. Thus, we use an indirect statistical approach by exploiting the Pollaczek-Khinchine transform formula for the Laplace transform of the waiting time distribution. Due to this, an estimator is defined and its frequentist validation in terms of posterior consistency and posterior normality is studied. It will turn out that we can hereby make inference for the observables separately and compose the results subsequently by suitable techniques.