Consider a single server queueing model which is observed over a continuous time interval (0, T ], where T is determined by a suitable stopping rule. Let θ be the unknown parameter for the arrival process andθ T be the maximum likelihood estimator of θ. The main goal of this paper is to obtain a moderate deviation result of the maximum likelihood estimator for the single server queueing model under certain regular conditions. Keywords GI /G/1 queue · Maximum likelihood estimator · Fisher information · Moderate deviation 2000 Mathematics Subject Classification 60K25 · 62F12
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