Consider an autoregressive-moving-average process of given order where it is known that a number of moving-average roots are of unit modulus. Such a situation might arise, for example, when a time series has been differenced to induce stationarity by removing a non-stationary polynomial or seasonal trend. A band-limited spectral estimation procedure is proposed for estimating the coefficients of such a process and the asymptotic properties of the estimators investigated. The asymptotic theory is illustrated with reference to simulated and real data. A preliminary investigation of the use of Akaike's AIC criterion and this procedure to determine the number of roots of unit modulus (in the case where this is unknown) is also carried out by means of simulation.

The proposed band-limited spectral estimation procedure can also be used to take account of other possible effects met in practice. These include, for example, the band-limited response of a recording device or trend-contaminated low-frequency components.

This work analyses a queueing mechanism with infinitely many servers in which the interarrival interval T preceding the arrival of a customer and his service time S are assumed correlated. A bivariate distribution with negative exponential marginals is used and the Laplace transforms pn (z) of the system probabilities in transient state are obtained. Closed-form expressions for the steady-state probabilities pn and their moments are given too. Finally the output process is investigated and conclusions are drawn from numerical calculations.

In assessing the reliability of a system of components, it is usual to suppose the components to fail independently of each other. Often this is inappropriate because the common environment acting on all components induces correlation. For example, a harsh environment will encourage early failure of all components. A simple model that incorporates such dependencies is described, and several properties of this model investigated. Calculations are carried out for a parallel system of two components. Inequalities for multicomponent systems are suggested. The results generalize easily.

Objects of various integer sizes, o1, · ··, on, are to be packed together into bins of size N as they arrive at a service facility. The number of objects of size oi which arrive by time t is , where the components of are independent renewal processes, with At/t → λ as t → ∞. The empty space in those bins which are neither empty nor full at time t is called the wasted space and the system is declared stabilizable if for some finite B there exists a bin-packing algorithm whose use guarantees the expected wasted space is less than B for all t. We show that the system is stabilizable if the arrival processes are Poisson and λ lies in the interior of a certain convex polyhedral cone Λ. In this case there exists a bin-packing algorithm which stabilizes the system without needing to know λ. However, if λ lies on the boundary of Λ the wasted space grows as and if λ is exterior to Λ it grows as O(t); these conclusions hold even if objects may be repacked as often as desired.

We consider a non-zero-sum game in which two searchers (player I and II) compete with each other for quicker detection of an object hidden in one of n boxes. Let p (q) be the prior location distribution of the object for player I (II). Exponential detection functions are assumed for both players. Each player wishes to maximize the probability that he detects the object before the opponent detects it. In the general case, a Nash equilibrium point is obtained in the form of a solution of simultaneous differential equations. In the case of p = q, we obtain an explicit solution showing the surprising result that both players have the same equilibrium strategy even though the detection rates are different.

For a large class of replacement models for stochastically deteriorating systems the optimality criteria of total expected discounted cost and long-run (expected) average cost per unit time have a common structure. In the present paper a formal description of this structure is given and the optimal rule is determined. A so-called ‘λ -minimization technique' is applied. This method is discussed in general terms.

This note deals with a purely algebraic development of the Spitzer identity for a bivariate Markov process , which is important for random walks, dams and queues. This identity, comprising the results of Kingman on the process , has been known for a long time in an analytic form as a solution of a certain integral equation. The algebraic approach leads to explicit results of interesting structure. In particular, the bivariate distribution of (Yn, Zn) can be expressed in terms of the marginal distributions of the stochastically dependent variables Yn and Zn.

In this work the first-come-first-served waiting-time process of a customer in a two-stage queueing network without intermediate waiting space is analysed. We assume that the arrivals follow the gamma distribution, the service times in the first stage are arbitrarily distributed, and the service times in the second stage are again of gamma type.

Connecting the waiting time of the (n + 1)th customer with that of the nth and locating the zeros of a certain function we derive expressions for the Laplace transform of the waiting-time distribution both in the transient and the steady state.

It is desired to minimize the expected cost of finding an object which moves back and forth between two locations according to an unobservable Markov process. When the object is in location i (i = 1, 2) it resides there for a time which is exponentially distributed with parameter λ1 and then moves to the other location. The location of the object is not known and at each instant until it is found exactly one of the two locations must be searched. Searching location i for time δ costs ciδ and conditional on the object being in location i there is a probability αiδ + o(δ) that this search will find it. The probability that the object starts in location 1 is known to bé p1(0). The location to be searched at time t is to be chosen on the basis of the value of p1(t), the probability that the object is in location 1, given that it has not yet been discovered. We prove that there exists a threshold Π such that the optimal policy may be described as: search location 1 if and only if the probability that the object is in location 1 is greater than Π. Expressions for the threshold Π are given in terms of the parameters of the model.

In some experiments an ‘observation' is a time series and the ‘treatments' are stimuli which elicit changes in the nature of the time series for only a short period. One approach to analysing data from such experiments is presented here. Tests are given for detecting responses in such experiments, and for comparing responses elicited under different treatment regimes. The tests are based on frequency-domain estimates of the prediction variance for stationary time series. If several stimuli are applied within each observed time series at regular intervals, then the method of analysis may be designed so that the estimates of the different responses are orthogonal and most of the calculations can be performed using standard analysis of variance programs.

We give a unified way of obtaining approximation formulas for the steady-state distribution of the queue length in the M/GI/s queue. The approximations of Hokstad (1978) and Case A of Tijms et al. (1981) are derived again. The main interest of this paper is in considering the theoretical meaning of the assumptions given in the literature. Having done this, we derive new approximation formulas. Our discussion is based on one version of the steady-state equations, called the basic equations in this paper. The basic equations are derived for M/GI/s/k with finite and infinite k. Similar approximations are possible for M/GI/s/k (k < +∞).

A characteristic property of the Ewen sampling formula is shown to follow from the invariance under size-biased sampling of the Poisson–Dirichlet distribution.

We consider a multiple regression model in which the regressors are Fourier cosine vectors. These regressors are intended as approximations to ‘slowly changing' regressors of the kind often found in time series regression applications. The errors in the model are assumed to be generated by a special type of autoregressive model defined so that the regressors are eigenvectors of the quadratic forms occurring in the exponent of the probability density of the errors. This autoregression is intended as an approximation to the usual stationary autoregression. Both approximations are adopted for the sake of mathematical convenience.

Student's t-statistics are constructed for the autoregressive coefficients in a manner analogous to ordinary regression. It is shown that these statistics are distributed as Student's t to the first order of approximation, that is with errors in the density of order T−1/2, where T is the sample size, while the squares of the statistics are distributed as the square of Student's t to the second order of approximation, that is with errors in the density of order Τ–1.

n i.i.d. random variables with known continuous distribution are observed sequentially with the objective of selecting the largest. This paper considers the finite-memory case which, at each stage, allows a solicitation of anyone of the last m observations as well as of the present one. If the (k – t)th observation with value x is solicited at the k th stage, the probability of successful solicitation is p1(x) or p2(x) according to whether t = 0 or 1 ≦ t ≦ m. The optimal procedure is shown to be characterized by the double sequences of decision numbers. A simple algorithm for calculating the decision numbers and the probability of selecting the largest is obtained in a special case.

The M/M/∞ queue in a random environment is an infinite-server queue where arrival and service rates are stochastic processes. Here we study the steady-state behavior of such a system. Explicit results are obtained for the factorial moments, the impossibility of a ‘matrix-Poisson' steady-state distribution is demonstrated and two numerical examples are presented.

This paper considers the generalized likelihood ratio (GLR) test or its modification dealing with nested models. The algorithm for evaluating the critical values and the error-rates for the canonical tests are provided; a table of critical values of a class of GLR tests is also given. The test proposed in the paper has applications in time-series model selection.

Natvig's measure of importance of system components is defined and investigated, using martingale notions and methods. Most results are proved in the case of dependent component life lengths. The sum of the ‘absolute importances' of the components is studied as a quantity expressing the ‘share of failures' in the destruction of the system, contrasted to the ‘share of time’.

Waiting time in a queueing system is usually measured by a period from the epoch when a subscriber enters the system until the service starting epoch. For repeated orders queueing systems it is natural to measure the waiting time by the number of repeated attempts, R, which have to be made by a blocked primary call customer before the call enters service. We study this problem for the M/M/1/1 retrial queue and derive expressions for mean, variance and generating function of R. Limit theorems are stated for heavy- and light-traffic cases.

Sufficient conditions are presented for the limiting normality of sequences of discrete random variables possessing unimodal distributions. The conditions are applied to obtain normal approximations directly for the hypergeometric distribution and the stationary distribution of a special birth-death process.

Two inverse problems in queueing are studied, namely: (i) a restoration of system characteristics, and (ii) a restoration of model classes. These problems are discussed in the framework of a general concept of characterization problems given by Kalashnikov and Rachev (1985).