Abstract
The problem of Markov-modulated Poisson process intensities estimating is studied. A new approach based on sequential change point detection method is proposed to determine switching points of the flow parameter. Both the intensities of the controlling Markovian chain and the intensities of the flow of events are estimated. The results of simulation are presented.
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Acknowledgements
This paper is supported by The National Research Tomsk State University Academic D.I. Mendeleev Fund Program (NU 8.1.55.2015 L) in 2014–2015.
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Burkatovskaya, Y., Kabanova, T., Vorobeychikov, S. (2015). CUSUM Algorithms for Parameter Estimation in Queueing Systems with Jump Intensity of the Arrival Process. In: Dudin, A., Nazarov, A., Yakupov, R. (eds) Information Technologies and Mathematical Modelling - Queueing Theory and Applications. ITMM 2015. Communications in Computer and Information Science, vol 564. Springer, Cham. https://doi.org/10.1007/978-3-319-25861-4_24
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DOI: https://doi.org/10.1007/978-3-319-25861-4_24
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