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Abstract

Semi-Markov processes can be considered as a generalization of both Markov and renewal processes. One of the principal characteristics of these processes is that in opposition to Markov models, they represent systems whose evolution is dependent not only on their last visited state but on the elapsed time since this state. Semi-Markov processes are replacing the exponential distribution of time intervals with an optional distribution. In this paper, we give a statistical approach to test the semi-Markov hypothesis. Moreover, we describe a Monte Carlo algorithm able to simulate the trajectories of the semi-Markov chain. This simulation method is used to test the semi-Markov model by comparing and analyzing the results with empirical data. We introduce the database of Network traffic which is employed for applying the Monte Carlo algorithm. The statistical characteristics of real and synthetic data from the models are compared. The comparison between the semi-Markov and the Markov models is done by computing the Autocorrelation functions and the probability density functions of the Network traffic real and simulated data as well. All the comparisons admit that the Markovian hypothesis is rejected in favor of the more general semi Markov one. Finally, the interval transition probabilities which show the future predictions of the Network traffic are given.

Keywords

Semi-Markov processes Monte Carlo simulation Synthetic time series Hypothesis test Network Traffic

Article Details

How to Cite
Kordnoori, S., Mostafaei, H., Kordnoori, S., & Ostadrahimi, M. (2020). Testing the Semi Markov Model Using Monte Carlo Simulation Method for Predicting the Network Traffic . Pakistan Journal of Statistics and Operation Research, 16(4), 713-720. https://doi.org/10.18187/pjsor.v16i4.3394

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