Parameter estimation for multivariate population processes: a saddlepoint approach

MCM de Gunst, S. Hautphenne, M. Mandjes, B Sollie*

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review


The setting considered in this paper concerns a discrete-time multivariate population process under Markov modulation. Our objective is to estimate the model parameters, based on periodic observations of the network population vector. These parameters relate to the arrival, routing and departure processes, but also to the (unobservable) Markovian background process. When opting for the classical likelihood-based approach, the evaluation of the likelihood is problematic. We show however, how an accurate saddlepoint approximation can be used. Numerical experiments illustrate our method and show that even under relatively complicated conditions the parameters are estimated relatively precisely.
Original languageEnglish
Pages (from-to)168-196
Number of pages29
JournalStochastic Models
Issue number1
Early online date22 Oct 2020
Publication statusPublished - 2020


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