32,299 research outputs found
Network tomography based on 1-D projections
Network tomography has been regarded as one of the most promising
methodologies for performance evaluation and diagnosis of the massive and
decentralized Internet. This paper proposes a new estimation approach for
solving a class of inverse problems in network tomography, based on marginal
distributions of a sequence of one-dimensional linear projections of the
observed data. We give a general identifiability result for the proposed method
and study the design issue of these one dimensional projections in terms of
statistical efficiency. We show that for a simple Gaussian tomography model,
there is an optimal set of one-dimensional projections such that the estimator
obtained from these projections is asymptotically as efficient as the maximum
likelihood estimator based on the joint distribution of the observed data. For
practical applications, we carry out simulation studies of the proposed method
for two instances of network tomography. The first is for traffic demand
tomography using a Gaussian Origin-Destination traffic model with a power
relation between its mean and variance, and the second is for network delay
tomography where the link delays are to be estimated from the end-to-end path
delays. We compare estimators obtained from our method and that obtained from
using the joint distribution and other lower dimensional projections, and show
that in both cases, the proposed method yields satisfactory results.Comment: Published at http://dx.doi.org/10.1214/074921707000000238 in the IMS
Lecture Notes Monograph Series
(http://www.imstat.org/publications/lecnotes.htm) by the Institute of
Mathematical Statistics (http://www.imstat.org
Maximum Likelihood Estimation of Closed Queueing Network Demands from Queue Length Data
Resource demand estimation is essential for the application of analyical models, such as queueing networks, to real-world systems. In this paper, we investigate maximum likelihood (ML) estimators for service demands in closed queueing networks with load-independent and load-dependent service times. Stemming from a characterization of necessary conditions for ML estimation, we propose new estimators that infer demands from queue-length measurements, which are inexpensive metrics to collect in real systems. One advantage of focusing on queue-length data compared to response times or utilizations is that confidence intervals can be rigorously derived from the equilibrium distribution of the queueing network model. Our estimators and their confidence intervals are validated against simulation and real system measurements for a multi-tier application
Modeling operational risk data reported above a time-varying threshold
Typically, operational risk losses are reported above a threshold. Fitting
data reported above a constant threshold is a well known and studied problem.
However, in practice, the losses are scaled for business and other factors
before the fitting and thus the threshold is varying across the scaled data
sample. A reporting level may also change when a bank changes its reporting
policy. We present both the maximum likelihood and Bayesian Markov chain Monte
Carlo approaches to fitting the frequency and severity loss distributions using
data in the case of a time varying threshold. Estimation of the annual loss
distribution accounting for parameter uncertainty is also presented
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