There are many queueing models in which there appears a semi-Markov matrix G(·), whose entries are absorption-time distributions in a Markov renewal branching process. The role of G(·) is similar to that of the busy period in the simple M/G/1 model. The computation of various quantities associated with G(·) is however much more complicated. The moment matrices, and particularly the mean matrix of G(·), are essential in the construction of general and mathematically well-justified algorithms for the steady-state distributions of such queues.

This paper discusses the moment matrices of G(·) and algorithms for their numerical computation. Its contents are basic to the algorithmic solutions to several queueing models, which are to be presented in follow-up papers.

This paper is mainly concerned with the asymptotic theory of maximum likelihood estimation for continuous-time stochastic processes. The role of martingale limit theory in this theory is developed. Some analogues of classical statistical concepts and quantities are also suggested. Various examples that illustrate parts of the theory are worked through, producing new results in some cases. The role of diffusion approximations in estimation is also explored.

The aim of this paper is to present a comprehensive set of criteria for classifying as recurrent, transient, null or positive the sets visited by a general state space Markov chain. When the chain is irreducible in some sense, these then provide criteria for classifying the chain itself, provided the sets considered actually reflect the status of the chain as a whole. The first part of the paper is concerned with the connections between various definitions of recurrence, transience, nullity and positivity for sets and for irreducible chains; here we also elaborate the idea of status sets for irreducible chains. In the second part we give our criteria for classifying sets. When the state space is countable, our results for recurrence, transience and positivity reduce to the classical work of Foster (1953); for continuous-valued chains they extend results of Lamperti (1960), (1963); for general spaces the positivity and recurrence criteria strengthen those of Tweedie (1975b).

This paper discusses several problems which arise when the regenerative method is used to analyse simulations of Markov chains. The first problem involves calculating the variance constant which appears in the central limit theorem used to obtain confidence intervals. Knowledge of this constant is very helpful in evaluating simulation methodologies. The second problem is to devise a method for simulating continuous time Markov chains without having to generate exponentially distributed holding times. Several methods are presented and compared. Numerical examples are given to illustrate the computional and statistical efficiency of these methods.

The aim of the current paper is twofold. Primarily we wish to extend some of our earlier results on excursions of random fields and introduce a more powerful technique for obtaining the mean value of a certain characteristic of these excursions. Since these results can also be used to tie together the scattered results of previous authors we also include a full review of earlier work in this field.

Families of exchangeably dissociated random variables are defined and discussed. These include families of the form g(Yi, Yj, …, Yz) for some function g of m arguments and some sequence Yn of i.i.d. random variables on any suitable space. A central limit theorem for exchangeably dissociated random variables is proved and some remarks on the closeness of the normal approximation are made. The weak convergence of the empirical distribution process to a Gaussian process is proved. Some applications to data analysis are discussed.

An extension of the class of strict sense stationary processes is studied. The extended class represents the strict sense analogy of an extension of wide sense stationary processes considered in an earlier paper [9]. The relations between the various types of processes defined are investigated in the general and in the Gaussian case, and some examples are given. It is shown that associated with a process belonging to the extended class there is a strict sense stationary process. The associated strict sense stationary process is unique iff the original process is ergodic.

A new method for obtaining spectral-like representations for a large class of non-stationary random processes is formulated. For a wide sense stationary process X(t) in continuous-time the spectral representation is generated by a self-adjoint operator H such that X(t)= eiHt X(0). Extending certain recently established operator identities for wide sense stationary processes, it is shown that similar operators exist for classes of non-stationary processes. The representation generated by such an operator has the form and it shares some of the properties of the wide sense stationary spectral representation: it is dual in a precisely defined sense to the time domain representation of X(t). There exists a class L of linear transformations of X(t) such that for G ∈ L for some function g determined by G.