Statistical Modeling and Inference

Abdur Rahman (Aakash)

Lecturer
Statistics Discipline
Khulna University, Khulna.
 Continuous time Markov chains

• A continuous time stochastic process {𝑥 𝑡 ; 𝑡 ≥

0} is said to be continuous time Markov chain if
the conditional probability of the failure give
that the present 𝑿(𝒔) and the past 𝑿 𝒖 ; 0 ≤
𝑢 < 𝑠 , depends only on the present and
independent of the past.
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 Continuous time Markov chains

• That is the stochastic process 𝑋 𝑡 ; 𝑡 ≥ 0 is a

continuous time Markov chain if for all s, t ≥ 0
and non-negative integers 𝑖, 𝑗, 𝑋 𝑢 ; 0 ≤ 𝑢 < 𝑠
Pr 𝑋 𝑡 + 𝑠 = 𝑗 𝑋 𝑠 = 𝑖, 𝑋 𝑢 = 𝑥 𝑢 ; 0 ≤ 𝑢 < 𝑠
= Pr 𝑋 𝑡 + 𝑠 = 𝑗 𝑋 𝑠 = 𝑖 = 𝑃𝑖𝑗 𝑡

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 Continuous time Markov chains
• In other ways, it is a stochastic process that moves
from state to state in accordance with a Markov chain
but in such a way that the amount of time it spends in
each state before moving to the next state is an
exponential distribution.

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 Queuing process
• A process of servicing facility or a process of arrivals
of customer who wish to be served by the facility is
known as queuing process.

• A queue or waiting line is formed when units (customers

or clients) needs some kind of service arrive at a service
channel (counter) that offers such facility.

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 …….. process graphically

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 Example
• Patients at a doctor’s chamber waiting for the treatment.
• A system of machine repair
• Vehicles waiting to cross a major road.
• Telephone calls waiting to be connected at a switchboard.
• ?
• ?
• ?

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 Application
• Telecommunications
• Traffic control
• Sequence of computer programs
• Health services
• Airport traffic
• ?
• ?

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 Properties of a Queuing Process
✓ Once served the individuals are generally assumed to
leave the system.
✓ The inter arrival times between two consecutive
arrivals are assumed to be independently and identically
distributed (iid) random variables
✓ The service times are also assumed to be independently
and identically distributed (iid) random variables.

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 Assumptions

1) Customers are infinite and patient

2) Customers arrival follows an exponential

distribution

3) Service rates follow an exponential distribution

4) Waiting line is usually handled on first come

first serve basis (FIFS).
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 Characteristics of Queuing Process
The four common elements or characteristics of queuing process
are given below:

• The input or arrivals: The input describes the manner in which

units (customers or clients) arrive and join in the system.

• The service mechanism: The service mechanism describes the

manner in which service is rendered. A unit may be served either
single or in a batch. The time required for servicing a unit (or a
group of unit) is called the service time.
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 Characteristics of Queuing Process
• The queue discipline : The queue discipline indicates the
way in which the units from a queue are served. The usual
discipline is first come first served (FCFS) or first in first out
(FIFO), through sometimes other rules such as last come first
served or random ordering before service are also adopted.

• The number of service channels: The system may have a

single channel or a number of parallel channels for service.

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 What Do We Measure in a Queuing
Process?
Queuing process deals with following:
• L= the average number of customers in the system.
• 𝐿𝑄 = the average number of customers waiting in the queue.
• W= the average amount of time a customer spends in the
system.
• 𝑊𝑄 = the average amount of time a customer spends waiting
in queue.
• k = number of servers in the system.

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Classification of queuing process
• First-come-first-served (FCFS)
• Last-come-first-served (LCFS)
• Shortest processing time first (SPT)
• Shortest remaining processing time first (SRPT)
• Shortest expected remaining processing time first (SERPT)
• Biggest-in-first-served (BIFS)
• Loudest-voice-first-served (LVFS)

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